V-Lab: SPC SAMLIP Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

SPC SAMLIP Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:18.09% (-0.65%)

Analysis last updated: Friday, May 3, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7182	8.11
$α$	0.1582	9.51
$β$	0.7424	28.08
$γ_{1}$	0.0270	1.96
$γ_{2}$	-0.0895	-4.45
$γ_{3}$	0.1157	8.11
$γ_{4}$	-0.0879	-6.62
$γ_{5}$	0.0527	6.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts