V-Lab: Eugene Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Eugene Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:60.07% (-2.13%)

Analysis last updated: Wednesday, May 1, 2024 at 10:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8182	6.48
$α$	0.0983	7.82
$β$	0.8580	40.97
$γ_{1}$	-0.0183	-0.33
$γ_{2}$	0.1260	1.47
$γ_{3}$	-0.2324	-3.52
$γ_{4}$	0.1282	1.97
$γ_{5}$	0.0543	0.84
$γ_{6}$	-0.1547	-2.34
$γ_{7}$	0.2199	3.16
$γ_{8}$	-0.1914	-2.19
$γ_{9}$	0.0713	0.68
$γ_{10}$	0.1421	1.33

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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