V-Lab: Seong An Materials Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Seong An Materials Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:115.00% (-1.16%)

Analysis last updated: Friday, May 3, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6424	4.65
$α$	0.2017	12.22
$β$	0.7970	59.04
$γ_{1}$	-0.3692	-0.38
$γ_{2}$	0.3376	0.31
$γ_{3}$	0.0688	0.25
$γ_{4}$	-0.0039	-0.02
$γ_{5}$	-0.0685	-0.36
$γ_{6}$	-0.0799	-0.35
$γ_{7}$	0.4852	1.70
$γ_{8}$	-1.4652	-4.98
$γ_{9}$	2.7780	12.13
$γ_{10}$	-2.5152	-25.00

Estimation Period:
Feb 18, 1997 to Apr 30, 2024

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