V-Lab: YG PLUS Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

YG PLUS Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:36.84% (-0.87%)

Analysis last updated: Sunday, April 21, 2024 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3801	4.36
$α$	0.1369	7.00
$β$	0.7438	22.21
$γ_{1}$	0.4930	4.46
$γ_{2}$	-0.7575	-4.90
$γ_{3}$	0.4649	4.55
$γ_{4}$	-0.3227	-3.02
$γ_{5}$	0.0638	0.51
$γ_{6}$	0.2395	1.76
$γ_{7}$	-0.3400	-2.32
$γ_{8}$	0.2163	1.81

Estimation Period:
Aug 1, 2003 to Apr 19, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts