V-Lab: Duroc AB Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Duroc AB Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:29.84% (+6.89%)

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
$ω$	1.1102	4.77
$α$	0.1891	5.66
$β$	0.4231	5.35
$γ_{1}$	0.0349	0.34
$γ_{2}$	-0.0055	-0.04
$γ_{3}$	-0.2391	-2.05
$γ_{4}$	0.4825	4.91
$γ_{5}$	-0.4626	-4.72
$γ_{6}$	0.3073	2.68
$γ_{7}$	-0.1164	-1.09
$γ_{8}$	-0.1158	-1.02
$γ_{9}$	0.2400	1.90
$γ_{10}$	-0.3445	-1.96

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts