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

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V-Lab

Pacific Coast Oil Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:136.61% (-17.46%)

Analysis last updated: Saturday, May 18, 2024 at 04:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2840	3.57
$α$	0.1432	5.09
$β$	0.7741	18.82
$γ_{1}$	1.5825	2.37
$γ_{2}$	-2.1497	-2.51
$γ_{3}$	0.8580	1.17
$γ_{4}$	-0.7325	-1.04
$γ_{5}$	-0.4351	-0.72
$γ_{6}$	3.4228	3.84
$γ_{7}$	-4.4519	-3.45
$γ_{8}$	2.2254	1.70
$γ_{9}$	-0.7016	-0.46
$γ_{10}$	0.2801	0.10

Estimation Period:
May 3, 2012 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts