V-Lab: Lehman Brothers Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Lehman Brothers Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 6th, 2012:390.87% (-35.88%)

Analysis last updated: Friday, January 29, 2016 at 03:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3497	1.86
$α$	0.1703	0.02
$β$	0.8296	0.12
$γ_{1}$	-0.8565	-0.01
$γ_{2}$	0.7565	0.01
$γ_{3}$	0.0221	0.00
$γ_{4}$	0.0513	0.01
$γ_{5}$	-0.1206	-0.03
$γ_{6}$	1.0651	0.11
$γ_{7}$	-1.7420	-0.19
$γ_{8}$	0.9579	0.23

Estimation Period:
May 2, 1994 to Mar 5, 2012

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts