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

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V-Lab

Seong An Materials Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:35.27% (-8.37%)

Analysis last updated: Thursday, May 2, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	7.3578	5.10
$α$	0.3452	27.41
$β$	0.6534	51.97
$γ_{1}$	-0.0867	-0.54
$γ_{2}$	0.0270	0.11
$γ_{3}$	0.1319	0.67
$γ_{4}$	-0.1040	-0.62
$γ_{5}$	0.1315	0.77
$γ_{6}$	-0.4875	-1.90
$γ_{7}$	1.3244	2.93
$γ_{8}$	-5.4731	-7.28
$γ_{9}$	13.5296	7.06
$γ_{10}$	-20.5812	-4.01

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

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Volatility Forecasts

Volatility Forecasts