V-Lab: MiraeING Spline-GARCH Volatility Analysis

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V-Lab

MiraeING Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:34.92% (-2.67%)

Analysis last updated: Wednesday, May 1, 2024 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1344	3.16
$α$	0.1962	5.78
$β$	0.6954	17.94
$γ_{1}$	-0.2567	-1.35
$γ_{2}$	0.4242	1.58
$γ_{3}$	-0.1561	-0.97
$γ_{4}$	-0.1755	-1.33
$γ_{5}$	0.3935	3.02
$γ_{6}$	-0.3506	-2.46
$γ_{7}$	0.1085	0.74
$γ_{8}$	-0.1134	-0.70
$γ_{9}$	0.4611	2.17
$γ_{10}$	-0.7754	-2.35

Estimation Period:
Nov 29, 1999 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts