V-Lab: MiraeING Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MiraeING Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:66.11% (+2.18%)

Analysis last updated: Sunday, April 21, 2024 at 12:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2199	3.81
$α$	0.2020	5.71
$β$	0.6982	17.76
$γ_{1}$	-0.1616	-1.48
$γ_{2}$	0.3465	2.24
$γ_{3}$	-0.3557	-3.88
$γ_{4}$	0.3197	3.87
$γ_{5}$	-0.2022	-2.20
$γ_{6}$	-0.0505	-0.49
$γ_{7}$	0.2402	2.50
$γ_{8}$	-0.1831	-2.63

Estimation Period:
Nov 29, 1999 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts