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

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V-Lab

MiraeING Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:49.70% (+0.32%)

Analysis last updated: Thursday, April 18, 2024 at 10:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2188	3.81
$α$	0.2017	5.69
$β$	0.6987	17.76
$γ_{1}$	-0.1619	-1.49
$γ_{2}$	0.3469	2.24
$γ_{3}$	-0.3558	-3.87
$γ_{4}$	0.3197	3.86
$γ_{5}$	-0.2022	-2.20
$γ_{6}$	-0.0504	-0.48
$γ_{7}$	0.2396	2.49
$γ_{8}$	-0.1826	-2.60

Estimation Period:
Nov 29, 1999 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts