V-Lab: Barings Corporate Investors Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Barings Corporate Investors Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:22.07% (-1.03%)

Analysis last updated: Monday, May 20, 2024 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0909	8.26
$α$	0.1242	7.91
$β$	0.7735	28.48
$γ_{1}$	0.0113	0.49
$γ_{2}$	0.0486	1.47
$γ_{3}$	-0.1360	-6.12
$γ_{4}$	0.1579	7.02
$γ_{5}$	-0.1775	-7.67
$γ_{6}$	0.1473	6.71
$γ_{7}$	-0.0411	-1.97
$γ_{8}$	-0.0246	-1.51

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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