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 Monday, May 13th, 2024:37.11% (-1.03%)

Analysis last updated: Friday, May 10, 2024 at 09:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0847	6.54
$α$	0.0989	8.82
$β$	0.8637	59.42
$γ_{1}$	-0.1116	-3.29
$γ_{2}$	0.1610	3.00
$γ_{3}$	-0.0626	-1.27
$γ_{4}$	0.0611	1.15
$γ_{5}$	-0.1202	-2.65
$γ_{6}$	0.1145	3.01
$γ_{7}$	-0.0394	-1.12
$γ_{8}$	-0.0131	-0.46

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts