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

V-Lab

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V-Lab

Sims Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:32.54% (+2.01%)

Analysis last updated: Saturday, April 20, 2024 at 08:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6533	6.25
$α$	0.1183	5.81
$β$	0.6279	11.10
$γ_{1}$	-0.0780	-1.27
$γ_{2}$	0.1632	1.81
$γ_{3}$	-0.1790	-3.30
$γ_{4}$	0.1782	4.44
$γ_{5}$	-0.0916	-2.73
$γ_{6}$	-0.0791	-1.89
$γ_{7}$	0.1727	3.22
$γ_{8}$	-0.1187	-1.95
$γ_{9}$	0.0141	0.23
$γ_{10}$	0.0347	0.88

Estimation Period:
Nov 25, 1991 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts