V-Lab: Sempio Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sempio Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:40.29% (+13.08%)

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
$ω$	1.0399	4.26
$α$	0.2773	7.33
$β$	0.6597	19.63
$γ_{1}$	0.0371	0.88
$γ_{2}$	-0.0456	-0.72
$γ_{3}$	-0.0600	-1.14
$γ_{4}$	0.1709	2.55
$γ_{5}$	-0.2443	-3.31
$γ_{6}$	0.3049	4.87
$γ_{7}$	-0.2733	-4.28
$γ_{8}$	0.1590	2.17
$γ_{9}$	-0.0609	-1.06

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts