V-Lab: Stentys Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Stentys Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 23rd, 2019:93.33% (-2.64%)

Analysis last updated: Monday, July 22, 2019 at 09:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4042	1.85
$α$	0.1994	2.22
$β$	0.7671	6.59
$γ_{1}$	-1.5870	-0.93
$γ_{2}$	1.7104	0.71
$γ_{3}$	0.1893	0.12
$γ_{4}$	1.0394	0.69
$γ_{5}$	-4.2333	-1.87
$γ_{6}$	5.3733	1.92
$γ_{7}$	-3.5724	-1.61
$γ_{8}$	1.6981	0.91
$γ_{9}$	-0.0705	-0.02

Estimation Period:
Oct 22, 2010 to Jul 19, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts