V-Lab: Farmers National Banc Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Farmers National Banc Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:29.25% (-1.63%)

Analysis last updated: Monday, May 6, 2024 at 09:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1008	2.15
$α$	0.1394	8.78
$β$	0.8505	60.49
$γ_{1}$	0.3883	2.19
$γ_{2}$	-0.6879	-2.85
$γ_{3}$	0.4102	3.29
$γ_{4}$	0.0536	0.59
$γ_{5}$	-0.4731	-4.51
$γ_{6}$	0.5379	3.95
$γ_{7}$	-0.3281	-2.36
$γ_{8}$	0.1420	1.12
$γ_{9}$	-0.0628	-0.66

Estimation Period:
Mar 9, 1994 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts