V-Lab: E-World Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E-World Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:48.09% (-2.56%)

Analysis last updated: Sunday, April 21, 2024 at 12:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8344	3.08
$α$	0.2202	7.35
$β$	0.6183	15.11
$γ_{1}$	0.4361	1.08
$γ_{2}$	-0.6038	-1.10
$γ_{3}$	-0.1861	-0.74
$γ_{4}$	0.8796	3.25
$γ_{5}$	-0.7103	-2.17
$γ_{6}$	-0.1498	-0.46
$γ_{7}$	0.9666	3.52
$γ_{8}$	-1.2777	-4.31
$γ_{9}$	1.1083	3.21
$γ_{10}$	-0.6179	-2.11

Estimation Period:
Jul 26, 2005 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts