V-Lab: National Security Group Inc/The Zero Slope Spline-GARCH Volatility Analysis

V-Lab

National Security Group Inc/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 1st, 2022:53.12% (0.00%)

Analysis last updated: Thursday, June 30, 2022 at 11:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3669	4.28
$α$	0.0922	4.88
$β$	0.8343	22.92
$γ_{1}$	-0.4582	-5.28
$γ_{2}$	0.6742	5.56
$γ_{3}$	-0.3592	-4.59
$γ_{4}$	0.1892	2.24
$γ_{5}$	0.0141	0.15
$γ_{6}$	-0.1076	-1.31

Estimation Period:
Jan 1, 1990 to Jun 17, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts