V-Lab: Meritz Fire & Marine Insurance Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Meritz Fire & Marine Insurance Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 22nd, 2023:43.14% (-0.13%)

Analysis last updated: Wednesday, February 22, 2023 at 08:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8632	6.66
$α$	0.1184	8.46
$β$	0.8170	43.25
$γ_{1}$	0.0306	0.97
$γ_{2}$	-0.0051	-0.11
$γ_{3}$	-0.1310	-4.20
$γ_{4}$	0.2012	6.83
$γ_{5}$	-0.1576	-4.85
$γ_{6}$	0.0674	1.81
$γ_{7}$	0.0558	1.32
$γ_{8}$	-0.0486	-0.54

Estimation Period:
Jan 3, 1990 to Feb 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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