Modeling Volatility with TGARCH

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Volatility has a number of statistical properties that must be taken into account in the modeling process.
  • The TGARCH model is one of the GARCH family models which allows for modeling volatility.
  • I Know First provides volatility predictions for short-term and long-term periods based on the machine learning approach.

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Volatility Scaling with Autocorrelation

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Autocorrelation enables us to estimate the volatility of an investment portfolio in a more precise way.
  • The S&P 500 returns characterize by negative autocorrelation which means that the S&P 500 has a less grade of risk than the estimation based on the assumption of stock returns independency.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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Hedge and Safe Haven Financial Assets

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Gold, short-term treasury bills, long-term treasury bonds, the spread between the long-term treasury and corporate bonds, 5-month volatility, and 1-month volatility are uncorrelated or negatively correlated with the S&P500 making them good candidates for a role of a hedge asset.
  • 5-month and 1-month volatility as exchange trade products, and also the short-term government bills and long-term government bonds able to play a role of a safe haven asset.
  • Correlation analysis of the S&P500 and TNX shows that the correlation structure is not consistent from data frame to data frame.

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DJI/RUT Stock Forecast: Large-Cap Stocks VS Small-Cap Stocks in the Period of Macroeconomic Instability

Sergey Okun  This "DJI/RUT Stock Forecast: Large-Cap Stocks VS Small-Cap Stocks in the Period of Macroeconomic Instability" article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • The DJI/RUT spread of 16.64 is lower than the historical level of 17.19.
  • Economic uncertainty increases the attractiveness of large-cap stocks due to their financial sustainability. 
  • The I Know First AI algorithm provides a higher signal forecast for DJI than for RUT in the 1-year time horizon.

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WFC Stock Forecast: Wells Fargo & Co Promises Growth Despite Macro-Economic Set-Backs

Opher Joseph This WFC Stock Forecast article was written by Opher Joseph – Financial Analyst, I Know First.

Summary:

  • The company has consistently beaten market expectations for the last four quarters in 2021 with an average earnings surprise of 34.41%.
  • A moderate increase in the FED rates would surely help the company gain substantial revenue as declared by the company.
  • Since the Ukraine war started on February 24th, 2022, WFC's stock dived by 9.56% from $ 53.95 to $ 48.79 on March 4th, 2022.

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Volatility Ahead – VIX Index Surges as September Begins

The I Know First September 3rd AI algorithmic prediction was successful in foreseeing that VIX index would surge on this trading day and until today. In reality, the index went up by almost 26% on Thursday to 33.6, and slightly declined to 30.75 on Friday. It’s value remains higher than it’s closing value on Wednesday – around 26.

Source: Yahoo Finance

As more and more uncertainty about the future economic activity rises due to Coronavirus implications and new lock-downs worldwide triggered by the second wave of patients, the VIX predictions lead its way to the top of I Know First’s forecast

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Winning Stock Forecast: Nektar Therapeutics (NASDAQ: NKTR) Up 340.47% In 1-Year As Forecasted Amid Its Stock Volatility

Winning Stock Forecast: Nektar Therapeutics (NASDAQ: NKTR) Up 340.47% In 1-Year As Forecasted Amid Its Stock Volatility

[Source: Live Trading News, May 23, 2018]

“Already, this year to-date, we have achieved multiple successes with our pipeline of Nektar invented medicines across three therapeutic areas, immuno-oncology, immunology and pain. In the area of chronic pain, we will submit the NDA for NKTR-181 to the FDA this month”

— Howard Robin – President and CEO of Nektar Therapeutics

Summary

  • Over the past year  NKTR went up 340.47%
  • They are one of the most robust growers investors more so during the past 12 months – due to many catalysts powering the firm.
  • Nektar recently commenced the phase 1B study of NKTR-358 for systemic lupus erythematosus.
  • If the mentioned drug can post robust clinical outcomes as prognosticated, it can cut into the $45.5B autoimmune diseases market to deliver significantly more upsides for Nektar.

Over the past year, from May 21 2017 through May 21 2018, NKTR produced a whopping 340.47% return to investors. Nektar Therapeutics is one of the most robust growers investors

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Quick Win by the Algorithm: VNR High Volatility Expectations Succeed

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