V-Lab: Kardan NV Spline-GARCH Volatility Analysis

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V-Lab

Kardan NV Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 31st, 2020:362.30% (+31.27%)

Analysis last updated: Friday, August 28, 2020 at 06:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1627	6.98
$α$	0.1803	5.37
$β$	0.6151	12.02
$γ_{1}$	-0.1063	-0.55
$γ_{2}$	0.4371	1.39
$γ_{3}$	-0.3389	-1.39
$γ_{4}$	-0.3026	-1.24
$γ_{5}$	0.6974	2.37
$γ_{6}$	-0.6276	-2.06
$γ_{7}$	0.2552	0.66
$γ_{8}$	0.0615	0.14
$γ_{9}$	-0.3248	-0.69
$γ_{10}$	1.7081	2.86

Estimation Period:
Jul 11, 2003 to Aug 28, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts