V-Lab: Ortivus AB Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Ortivus AB Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:148.54% (+39.18%)

Analysis last updated: Saturday, May 4, 2024 at 09:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6954	3.85
$α$	0.1873	5.78
$β$	0.6816	14.71
$γ_{1}$	1.6694	4.07
$γ_{2}$	-3.1507	-4.83
$γ_{3}$	2.3762	4.49
$γ_{4}$	-1.4208	-2.81
$γ_{5}$	0.8600	1.52
$γ_{6}$	-0.5291	-0.90
$γ_{7}$	0.3505	0.64
$γ_{8}$	-0.4005	-0.82
$γ_{9}$	0.4203	0.94
$γ_{10}$	0.0781	0.13

Estimation Period:
Nov 13, 1995 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts