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

V-Lab

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V-Lab

Light SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:50.25% (-1.73%)

Analysis last updated: Saturday, April 20, 2024 at 08:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.4446	4.63
$α$	0.1047	7.09
$β$	0.7972	29.99
$γ_{1}$	-0.0058	-0.09
$γ_{2}$	0.1469	1.59
$γ_{3}$	-0.1775	-2.98
$γ_{4}$	0.0062	0.08
$γ_{5}$	0.0204	0.27
$γ_{6}$	0.0074	0.11
$γ_{7}$	0.1202	1.80
$γ_{8}$	-0.2591	-3.74
$γ_{9}$	0.2374	4.08
$γ_{10}$	-0.1366	-3.34

Estimation Period:
Dec 20, 1991 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts