V-Lab: BP Prudhoe Bay Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BP Prudhoe Bay Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:57.45% (-0.27%)

Analysis last updated: Thursday, May 9, 2024 at 09:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5324	4.70
$α$	0.1957	9.51
$β$	0.7556	33.68
$γ_{1}$	0.0784	3.32
$γ_{2}$	-0.1289	-3.90
$γ_{3}$	0.0506	2.75
$γ_{4}$	0.0130	0.66
$γ_{5}$	0.0082	0.41
$γ_{6}$	-0.0469	-3.48

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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