V-Lab: Mesa Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Mesa Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:63.16% (-1.92%)

Analysis last updated: Friday, May 10, 2024 at 09:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6098	3.05
$α$	0.1875	9.31
$β$	0.7567	34.39
$γ_{1}$	-0.1437	-1.35
$γ_{2}$	0.2594	1.72
$γ_{3}$	-0.1637	-1.98
$γ_{4}$	0.1573	2.02
$γ_{5}$	-0.2641	-3.59
$γ_{6}$	0.2998	3.79
$γ_{7}$	-0.2862	-3.32
$γ_{8}$	0.2692	3.44
$γ_{9}$	-0.1994	-3.97

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts