V-Lab: North European Oil Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

North European Oil Royalty Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:67.53% (-2.99%)

Analysis last updated: Friday, May 10, 2024 at 09:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8465	5.73
$α$	0.1221	9.45
$β$	0.8087	38.35
$γ_{1}$	0.0590	1.17
$γ_{2}$	-0.0426	-0.55
$γ_{3}$	-0.0281	-0.50
$γ_{4}$	-0.0079	-0.16
$γ_{5}$	0.0728	1.43
$γ_{6}$	-0.1494	-2.94
$γ_{7}$	0.2259	4.47
$γ_{8}$	-0.2362	-4.63
$γ_{9}$	0.2091	4.26
$γ_{10}$	-0.1706	-4.56

Estimation Period:
Jan 2, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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