V-Lab: Vallourec SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Vallourec SA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:26.29% (-1.14%)

Analysis last updated: Wednesday, May 8, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0846	4.72
$α$	0.0917	8.92
$β$	0.8318	43.56
$γ_{1}$	-0.0304	-0.64
$γ_{2}$	0.1006	1.50
$γ_{3}$	-0.1562	-3.59
$γ_{4}$	0.1715	4.08
$γ_{5}$	-0.1392	-3.49
$γ_{6}$	0.0660	1.31
$γ_{7}$	0.0160	0.31
$γ_{8}$	-0.0441	-0.79
$γ_{9}$	-0.0990	-1.36

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts