V-Lab: Thomson Reuters Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Thomson Reuters Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:31.59% (-1.39%)

Analysis last updated: Saturday, May 4, 2024 at 05:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9406	6.19
$α$	0.0741	7.53
$β$	0.8714	43.74
$γ_{1}$	-0.0002	-0.00
$γ_{2}$	0.0332	0.74
$γ_{3}$	-0.1206	-4.66
$γ_{4}$	0.1763	7.11
$γ_{5}$	-0.1511	-4.98
$γ_{6}$	0.1074	2.88
$γ_{7}$	-0.0600	-1.58
$γ_{8}$	0.0136	0.49

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts