V-Lab: Gigamon Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Gigamon Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 27th, 2017:18.53% (-0.05%)

Analysis last updated: Tuesday, December 26, 2017 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2141	3.44
$α$	0.1379	2.00
$β$	0.0000	0.00
$γ_{1}$	3.3838	0.70
$γ_{2}$	-6.0655	-0.79
$γ_{3}$	3.3741	0.55
$γ_{4}$	1.1426	0.16
$γ_{5}$	-4.8068	-0.76
$γ_{6}$	4.6745	1.04
$γ_{7}$	-0.3600	-0.10
$γ_{8}$	-6.6170	-1.70
$γ_{9}$	9.0905	2.60

Estimation Period:
Jun 12, 2013 to Dec 22, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts