V-Lab: Orchid Island Capital Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Orchid Island Capital Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:22.35% (-0.39%)

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
$ω$	0.6917	3.99
$α$	0.1408	5.48
$β$	0.8158	21.51
$γ_{1}$	-0.0069	-2.32

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts