V-Lab: Goldman Sachs Group Inc/The Spline-GARCH Volatility Analysis

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V-Lab

Goldman Sachs Group Inc/The Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:22.34% (-0.08%)

Analysis last updated: Friday, May 3, 2024 at 10:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2682	6.44
$α$	0.0712	6.39
$β$	0.8935	47.78
$γ_{1}$	-0.1772	-4.00
$γ_{2}$	0.3782	5.41
$γ_{3}$	-0.3393	-6.00
$γ_{4}$	0.1671	3.06
$γ_{5}$	0.0085	0.16
$γ_{6}$	-0.0440	-0.89
$γ_{7}$	-0.0497	-0.69

Estimation Period:
May 4, 1999 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts