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 Thursday, April 18th, 2024:35.67% (-1.07%)

Analysis last updated: Thursday, April 18, 2024 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3812	4.38
$α$	0.1382	7.07
$β$	0.7404	22.10
$γ_{1}$	0.4937	4.48
$γ_{2}$	-0.7584	-4.93
$γ_{3}$	0.4653	4.58
$γ_{4}$	-0.3233	-3.04
$γ_{5}$	0.0647	0.52
$γ_{6}$	0.2387	1.76
$γ_{7}$	-0.3386	-2.31
$γ_{8}$	0.2149	1.78

Estimation Period:
Aug 1, 2003 to Apr 12, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts