V-Lab: Tongyang Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Tongyang Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:10.09% (-0.03%)

Analysis last updated: Saturday, April 27, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4915	5.17
$α$	0.1315	7.54
$β$	0.7919	28.98
$γ_{1}$	-0.0559	-1.20
$γ_{2}$	0.1334	2.05
$γ_{3}$	-0.1833	-4.08
$γ_{4}$	0.1547	3.27
$γ_{5}$	-0.0571	-1.31
$γ_{6}$	0.0032	0.07
$γ_{7}$	-0.0457	-0.90
$γ_{8}$	0.1610	2.76
$γ_{9}$	-0.3592	-2.90

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts