V-Lab: Lehman Brothers Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Lehman Brothers Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 6th, 2012:318.83% (-42.86%)

Analysis last updated: Friday, January 29, 2016 at 04:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3006	6.40
$α$	0.1484	3.05
$β$	0.7410	17.67
$γ_{1}$	0.1725	1.39
$γ_{2}$	-0.1925	-0.94
$γ_{3}$	-0.1187	-0.76
$γ_{4}$	0.1163	0.94
$γ_{5}$	0.0040	0.03
$γ_{6}$	0.6623	3.22
$γ_{7}$	-1.3394	-4.99
$γ_{8}$	0.9992	2.86

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts