V-Lab: CCR SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CCR SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:23.28% (-0.79%)

Analysis last updated: Saturday, April 20, 2024 at 08:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7343	4.50
$α$	0.0920	6.21
$β$	0.8266	26.81
$γ_{1}$	0.0626	0.57
$γ_{2}$	0.0763	0.48
$γ_{3}$	-0.3408	-2.76
$γ_{4}$	0.3060	2.57
$γ_{5}$	-0.0103	-0.11
$γ_{6}$	-0.2317	-2.40
$γ_{7}$	0.2543	2.52
$γ_{8}$	-0.2787	-2.81
$γ_{9}$	0.2608	3.85

Estimation Period:
Feb 4, 2002 to Apr 19, 2024

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