V-Lab: San Juan Basin Royalty Trust Spline-GARCH Volatility Analysis

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V-Lab

San Juan Basin Royalty Trust Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 13th, 2024:40.35% (-1.12%)

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
$ω$	1.0012	7.28
$α$	0.0569	7.14
$β$	0.9235	90.69
$γ_{1}$	-0.0126	-1.24
$γ_{2}$	0.0238	1.44
$γ_{3}$	-0.0215	-1.40
$γ_{4}$	0.0433	2.77
$γ_{5}$	-0.0873	-3.98

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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