V-Lab: BlackRock Income Trust Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BlackRock Income Trust Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:12.06% (-0.61%)

Analysis last updated: Thursday, May 16, 2024 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4079	8.29
$α$	0.1387	9.07
$β$	0.7375	27.43
$γ_{1}$	0.0397	1.11
$γ_{2}$	-0.1133	-2.14
$γ_{3}$	0.1274	3.80
$γ_{4}$	-0.0800	-2.55
$γ_{5}$	0.0488	1.44
$γ_{6}$	-0.0466	-1.49
$γ_{7}$	0.0226	0.79
$γ_{8}$	0.0773	2.64
$γ_{9}$	-0.1299	-6.08

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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