V-Lab: Sabine Royalty Trust Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Sabine Royalty Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 13th, 2024:21.88% (+0.05%)

Analysis last updated: Tuesday, November 12, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1916	6.84
$α$	0.1636	10.50
$β$	0.7798	42.91
$γ_{1}$	0.0518	3.61
$γ_{2}$	-0.0736	-3.27
$γ_{3}$	0.0250	1.47
$γ_{4}$	-0.0117	-0.72
$γ_{5}$	0.0407	2.22
$γ_{6}$	-0.0831	-3.11

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts