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

V-Lab

National Security Group Inc/The Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 1st, 2022:37.37% (-0.01%)

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
$ω$	0.3587	4.48
$α$	0.0909	4.91
$β$	0.8252	20.88
$γ_{1}$	-0.4602	-5.54
$γ_{2}$	0.6754	5.82
$γ_{3}$	-0.3524	-4.69
$γ_{4}$	0.1601	2.01
$γ_{5}$	0.0952	1.03
$γ_{6}$	-0.3161	-1.65

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts