V-Lab: BlackRock MuniHoldings California Quality Fund Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BlackRock MuniHoldings California Quality Fund Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:9.52% (-0.65%)

Analysis last updated: Thursday, May 16, 2024 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9194	5.10
$α$	0.1670	8.40
$β$	0.7786	32.62
$γ_{1}$	-0.0451	-1.20
$γ_{2}$	0.1266	2.24
$γ_{3}$	-0.1179	-2.97
$γ_{4}$	0.0148	0.43
$γ_{5}$	0.0816	2.82
$γ_{6}$	-0.0917	-4.20

Estimation Period:
Mar 3, 1998 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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