V-Lab: Pacific Coast Oil Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pacific Coast Oil Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:130.61% (-15.26%)

Analysis last updated: Wednesday, May 8, 2024 at 09:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2901	3.89
$α$	0.1345	4.93
$β$	0.7776	18.48
$γ_{1}$	1.6054	2.57
$γ_{2}$	-2.1223	-2.60
$γ_{3}$	0.7563	1.05
$γ_{4}$	-0.6575	-0.96
$γ_{5}$	-0.4566	-0.76
$γ_{6}$	3.3692	3.78
$γ_{7}$	-4.3239	-3.45
$γ_{8}$	2.1527	1.87
$γ_{9}$	-0.8636	-1.03
$γ_{10}$	1.0144	1.41

Estimation Period:
May 3, 2012 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts