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 Tuesday, November 12th, 2024:177.97% (-3.16%)

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
$ω$	0.2567	3.53
$α$	0.1355	4.97
$β$	0.7715	18.86
$γ_{1}$	1.4075	2.12
$γ_{2}$	-1.9071	-2.27
$γ_{3}$	0.8262	1.33
$γ_{4}$	-1.0919	-1.71
$γ_{5}$	0.6832	1.31
$γ_{6}$	1.8670	3.52
$γ_{7}$	-3.5933	-4.11
$γ_{8}$	2.2920	1.93
$γ_{9}$	-1.0966	-0.93
$γ_{10}$	2.8836	0.97

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts