V-Lab: Duroc AB Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Duroc AB Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:38.49% (+5.00%)

Analysis last updated: Saturday, May 4, 2024 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1005	4.75
$α$	0.1868	5.60
$β$	0.4162	5.29
$γ_{1}$	0.0300	0.30
$γ_{2}$	-0.0014	-0.01
$γ_{3}$	-0.2319	-2.00
$γ_{4}$	0.4676	4.80
$γ_{5}$	-0.4481	-4.61
$γ_{6}$	0.3022	2.66
$γ_{7}$	-0.1295	-1.22
$γ_{8}$	-0.0673	-0.60
$γ_{9}$	0.1198	1.06
$γ_{10}$	-0.0353	-0.53

Estimation Period:
Oct 24, 1996 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts