V-Lab: Cisco Systems Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Cisco Systems Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:24.20% (+3.87%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1699	6.49
$α$	0.1073	7.24
$β$	0.7980	31.64
$γ_{1}$	0.0025	0.06
$γ_{2}$	-0.0149	-0.24
$γ_{3}$	0.0662	1.47
$γ_{4}$	-0.1872	-3.71
$γ_{5}$	0.2593	4.35
$γ_{6}$	-0.1583	-2.84
$γ_{7}$	-0.0345	-0.59
$γ_{8}$	0.1676	2.41
$γ_{9}$	-0.1481	-2.18
$γ_{10}$	0.0569	1.22

Estimation Period:
Feb 19, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts