V-Lab: SunEdison Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SunEdison Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 1st, 2018:129.36% (+0.35%)

Analysis last updated: Saturday, December 30, 2017 at 12:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6341	6.39
$α$	0.0993	6.38
$β$	0.8214	28.19
$γ_{1}$	0.0387	0.38
$γ_{2}$	-0.0769	-0.51
$γ_{3}$	-0.0827	-0.82
$γ_{4}$	0.3053	3.21
$γ_{5}$	-0.2827	-2.97
$γ_{6}$	0.1283	1.40
$γ_{7}$	0.0541	0.58
$γ_{8}$	-0.1748	-2.03

Estimation Period:
Jul 13, 1995 to Dec 29, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts