V-Lab: Travelzoo Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Travelzoo Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:78.51% (+9.38%)

Analysis last updated: Friday, July 26, 2024 at 09:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9477	5.42
$α$	0.1993	4.13
$β$	0.5682	8.36
$γ_{1}$	0.1636	2.31
$γ_{2}$	-0.1835	-1.73
$γ_{3}$	-0.0250	-0.34
$γ_{4}$	0.1682	2.53
$γ_{5}$	-0.2145	-3.31
$γ_{6}$	0.0916	1.18

Estimation Period:
Aug 29, 2002 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts