V-Lab: SMEDI Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SMEDI Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:36.79% (-0.64%)

Analysis last updated: Sunday, April 21, 2024 at 12:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0696	4.19
$α$	0.2034	5.24
$β$	0.6625	12.34
$γ_{1}$	0.7762	2.50
$γ_{2}$	-1.4714	-2.97
$γ_{3}$	1.0585	2.67
$γ_{4}$	-0.2950	-0.75
$γ_{5}$	-0.4216	-0.97
$γ_{6}$	0.8343	2.26
$γ_{7}$	-1.1298	-2.97
$γ_{8}$	1.1556	2.91
$γ_{9}$	-0.6233	-2.13

Estimation Period:
Jan 1, 2010 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts