V-Lab: Talos Petroleum LLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Talos Petroleum LLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 10th, 2018:52.41% (-0.75%)

Analysis last updated: Wednesday, May 9, 2018 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8325	5.17
$α$	0.0610	6.62
$β$	0.9072	61.09
$γ_{1}$	-0.0201	-0.25
$γ_{2}$	0.0823	0.65
$γ_{3}$	-0.1482	-1.69
$γ_{4}$	0.1865	2.46
$γ_{5}$	-0.0981	-1.30
$γ_{6}$	-0.1348	-1.65
$γ_{7}$	0.3972	4.19
$γ_{8}$	-0.7265	-4.62

Estimation Period:
Jul 9, 1993 to May 4, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts