V-Lab: Nordea Bank Abp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Nordea Bank Abp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 9th, 2024:21.42% (+2.70%)

Analysis last updated: Saturday, September 7, 2024 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8892	5.07
$α$	0.0913	7.82
$β$	0.8665	54.88
$γ_{1}$	-0.2174	-3.44
$γ_{2}$	0.4092	4.64
$γ_{3}$	-0.3235	-6.07
$γ_{4}$	0.1677	3.18
$γ_{5}$	-0.0071	-0.13
$γ_{6}$	-0.0673	-1.18
$γ_{7}$	0.0565	1.35

Estimation Period:
Jan 31, 2000 to Sep 6, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts