V-Lab: Boryung Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Boryung Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:37.57% (-1.24%)

Analysis last updated: Sunday, April 21, 2024 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7877	7.80
$α$	0.1188	8.57
$β$	0.8035	39.05
$γ_{1}$	-0.0073	-0.20
$γ_{2}$	0.0311	0.56
$γ_{3}$	-0.1227	-3.23
$γ_{4}$	0.1973	5.25
$γ_{5}$	-0.1344	-3.40
$γ_{6}$	0.0263	0.60
$γ_{7}$	0.0383	0.76
$γ_{8}$	-0.0506	-1.07
$γ_{9}$	0.0285	0.94

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

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