V-Lab: United Parcel Service Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

United Parcel Service Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 22nd, 2024:24.81% (+0.91%)

Analysis last updated: Tuesday, May 21, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2172	5.58
$α$	0.1580	4.98
$β$	0.7031	16.87
$γ_{1}$	0.2374	2.28
$γ_{2}$	-0.2138	-1.36
$γ_{3}$	0.0344	0.39
$γ_{4}$	-0.2315	-2.83
$γ_{5}$	0.2860	3.23
$γ_{6}$	-0.1202	-1.33
$γ_{7}$	0.0960	1.04
$γ_{8}$	-0.2168	-2.35
$γ_{9}$	0.1631	2.12

Estimation Period:
Nov 10, 1999 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts