V-Lab: IRESS Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

IRESS Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:38.74% (-0.09%)

Analysis last updated: Friday, April 19, 2024 at 08:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0706	7.69
$α$	0.1013	5.33
$β$	0.5650	7.72
$γ_{1}$	-0.0917	-1.77
$γ_{2}$	0.2278	3.05
$γ_{3}$	-0.2747	-5.99
$γ_{4}$	0.2028	4.79
$γ_{5}$	-0.0668	-1.26
$γ_{6}$	0.0049	0.08
$γ_{7}$	0.0377	0.55
$γ_{8}$	-0.0827	-1.53

Estimation Period:
Nov 3, 2000 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts