V-Lab: Sempio Co Spline-GARCH Volatility Analysis

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V-Lab

Sempio Co Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:21.74% (-1.41%)

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
$ω$	1.0444	4.34
$α$	0.2790	7.17
$β$	0.6554	19.21
$γ_{1}$	0.0428	1.03
$γ_{2}$	-0.0521	-0.83
$γ_{3}$	-0.0620	-1.20
$γ_{4}$	0.1788	2.69
$γ_{5}$	-0.2562	-3.50
$γ_{6}$	0.3231	5.18
$γ_{7}$	-0.3065	-4.65
$γ_{8}$	0.2290	2.71
$γ_{9}$	-0.2380	-2.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts