V-Lab: Monalisa Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Monalisa Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.96% (-1.30%)

Analysis last updated: Sunday, April 21, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7090	4.70
$α$	0.1249	8.23
$β$	0.8406	45.77
$γ_{1}$	-0.0372	-0.71
$γ_{2}$	0.1427	1.90
$γ_{3}$	-0.2655	-5.14
$γ_{4}$	0.2363	4.00
$γ_{5}$	-0.1127	-1.60
$γ_{6}$	0.0964	1.21
$γ_{7}$	-0.0927	-1.17
$γ_{8}$	0.0107	0.16
$γ_{9}$	0.0470	1.08

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

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Volatility Forecasts