V-Lab: Orchid Island Capital Inc MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Orchid Island Capital Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:19.75% (-0.35%)

Analysis last updated: Friday, May 17, 2024 at 09:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0561	4.24
$β$	0.8095	49.73
$γ$	0.1406	9.73
$λ_{1}$	2.2063	0.12
$λ_{2}$	0.0000	0.00
$λ_{3}$	0.4055	0.08

Estimation Period:
Feb 14, 2013 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts