V-Lab: Mesabi Trust Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mesabi Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 13th, 2024:43.50% (-1.40%)

Analysis last updated: Tuesday, November 12, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9621	6.23
$α$	0.1003	8.45
$β$	0.8531	50.31
$γ_{1}$	-0.1863	-3.44
$γ_{2}$	0.2531	2.96
$γ_{3}$	-0.0868	-1.36
$γ_{4}$	0.0451	0.92
$γ_{5}$	0.0206	0.37
$γ_{6}$	-0.1593	-2.58
$γ_{7}$	0.2119	3.23
$γ_{8}$	-0.1701	-2.26
$γ_{9}$	0.1457	2.06
$γ_{10}$	-0.1130	-2.24

Estimation Period:
Jan 1, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts