V-Lab: Robert Half Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Robert Half Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:17.98% (+0.02%)

Analysis last updated: Monday, May 20, 2024 at 09:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6978	5.68
$α$	0.0872	6.69
$β$	0.8292	32.54
$γ_{1}$	-0.0129	-0.28
$γ_{2}$	0.0245	0.37
$γ_{3}$	-0.0661	-1.63
$γ_{4}$	0.1139	3.10
$γ_{5}$	-0.1171	-3.66
$γ_{6}$	0.1029	3.59
$γ_{7}$	-0.0527	-1.61
$γ_{8}$	-0.0327	-0.68

Estimation Period:
Jan 1, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts