V-Lab: LCNB Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

LCNB Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:43.97% (-2.02%)

Analysis last updated: Tuesday, May 7, 2024 at 09:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5470	2.11
$α$	0.1514	7.45
$β$	0.8020	28.38
$γ_{1}$	-0.3462	-1.66
$γ_{2}$	0.6421	1.97
$γ_{3}$	-0.5387	-1.99
$γ_{4}$	0.3355	1.57
$γ_{5}$	0.0134	0.09
$γ_{6}$	-0.2563	-1.83
$γ_{7}$	0.3224	1.96
$γ_{8}$	-0.2671	-2.11

Estimation Period:
Nov 30, 1995 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts