V-Lab: BrandywineGLOBAL - Global Income Opportunities Fund Inc Spline-GARCH Volatility Analysis

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V-Lab

BrandywineGLOBAL - Global Income Opportunities Fund Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:11.34% (+0.41%)

Analysis last updated: Friday, May 17, 2024 at 09:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7713	4.35
$α$	0.1211	5.79
$β$	0.8306	36.10
$γ_{1}$	-0.0492	-0.75
$γ_{2}$	-0.0182	-0.18
$γ_{3}$	0.2475	2.67
$γ_{4}$	-0.4395	-3.50

Estimation Period:
Mar 28, 2012 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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