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 Tuesday, November 12th, 2024:90.34% (-6.36%)

Analysis last updated: Tuesday, November 12, 2024 at 01:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2762	2.62
$α$	0.1479	4.31
$β$	0.7919	25.41
$γ_{1}$	1.4591	1.79
$γ_{2}$	-2.0981	-2.06
$γ_{3}$	1.1308	1.52
$γ_{4}$	-1.3590	-1.76
$γ_{5}$	0.8189	1.32
$γ_{6}$	1.8462	3.04
$γ_{7}$	-3.5894	-3.68
$γ_{8}$	2.0417	1.57
$γ_{9}$	-0.2039	-0.20
$γ_{10}$	0.0656	0.11

Estimation Period:
May 3, 2012 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts