V-Lab: Next PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Next PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:20.41% (-0.02%)

Analysis last updated: Thursday, May 9, 2024 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7415	7.33
$α$	0.0765	6.47
$β$	0.8428	34.40
$γ_{1}$	-0.1009	-2.81
$γ_{2}$	0.2847	4.90
$γ_{3}$	-0.2882	-5.46
$γ_{4}$	0.0733	1.36
$γ_{5}$	0.1761	3.24
$γ_{6}$	-0.3321	-5.68
$γ_{7}$	0.3341	4.67
$γ_{8}$	-0.1961	-2.47
$γ_{9}$	0.0344	0.50
$γ_{10}$	0.0031	0.04

Estimation Period:
Jan 1, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts