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 Friday, April 19th, 2024:31.11% (-0.12%)

Analysis last updated: Friday, April 19, 2024 at 07:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6661	6.43
$α$	0.1195	5.84
$β$	0.6232	10.97
$γ_{1}$	-0.0737	-1.21
$γ_{2}$	0.1581	1.76
$γ_{3}$	-0.1778	-3.28
$γ_{4}$	0.1771	4.41
$γ_{5}$	-0.0896	-2.65
$γ_{6}$	-0.0815	-1.92
$γ_{7}$	0.1740	3.21
$γ_{8}$	-0.1186	-1.94
$γ_{9}$	0.0138	0.23
$γ_{10}$	0.0343	0.87

Estimation Period:
Nov 25, 1991 to Apr 12, 2024

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Volatility Forecasts