V-Lab: Light SA EGARCH Volatility Analysis

V-Lab

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V-Lab

Light SA EGARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:48.91% (-0.60%)

Analysis last updated: Friday, April 19, 2024 at 06:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0118	6.93
$α$	0.0666	9.80
$β$	0.9986	2093.57
$γ$	0.0018	0.28

Estimation Period:
Dec 20, 1991 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts