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

V-Lab

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V-Lab

Thomson Reuters Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:21.68% (-0.68%)

Analysis last updated: Thursday, May 16, 2024 at 01:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9590	6.03
$α$	0.0804	7.33
$β$	0.8473	37.43
$γ_{1}$	-0.0124	-0.24
$γ_{2}$	0.0667	0.91
$γ_{3}$	-0.0988	-2.12
$γ_{4}$	-0.0295	-0.71
$γ_{5}$	0.2317	5.42
$γ_{6}$	-0.3093	-5.89
$γ_{7}$	0.2439	4.47
$γ_{8}$	-0.1097	-2.30
$γ_{9}$	0.0140	0.24
$γ_{10}$	0.0091	0.08

Estimation Period:
Jan 1, 1990 to May 10, 2024

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Volatility Forecasts