V-Lab: Ralph Lauren Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Ralph Lauren Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:30.74% (+0.38%)

Analysis last updated: Friday, May 17, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0136	7.33
$α$	0.1386	4.93
$β$	0.7021	16.87
$γ_{1}$	-0.0668	-1.40
$γ_{2}$	0.0240	0.35
$γ_{3}$	0.1732	3.84
$γ_{4}$	-0.2748	-5.76
$γ_{5}$	0.2490	3.99
$γ_{6}$	-0.1273	-1.47
$γ_{7}$	0.0067	0.08
$γ_{8}$	0.0210	0.39

Estimation Period:
Jun 12, 1997 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts