V-Lab: Bank of New York Mellon Corp/The Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bank of New York Mellon Corp/The Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:15.20% (-0.50%)

Analysis last updated: Thursday, May 16, 2024 at 09:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2681	8.14
$α$	0.0853	8.43
$β$	0.8666	54.45
$γ_{1}$	0.0244	0.92
$γ_{2}$	0.0240	0.54
$γ_{3}$	-0.1443	-3.97
$γ_{4}$	0.1975	6.38
$γ_{5}$	-0.1884	-6.82
$γ_{6}$	0.1319	3.90
$γ_{7}$	-0.0150	-0.42
$γ_{8}$	-0.1427	-2.79

Estimation Period:
Jan 2, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts