V-Lab: BorgWarner Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BorgWarner Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:43.27% (+10.48%)

Analysis last updated: Thursday, May 2, 2024 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2045	5.07
$α$	0.0508	5.71
$β$	0.9173	63.06
$γ_{1}$	0.0866	2.57
$γ_{2}$	-0.1617	-3.46
$γ_{3}$	0.1555	4.50
$γ_{4}$	-0.1477	-4.68
$γ_{5}$	0.1007	3.42
$γ_{6}$	-0.0262	-0.93
$γ_{7}$	-0.0203	-0.90

Estimation Period:
Aug 13, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts