V-Lab: Monalisa Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Monalisa Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.86% (-1.40%)

Analysis last updated: Sunday, April 21, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6684	4.54
$α$	0.1257	8.14
$β$	0.8374	45.07
$γ_{1}$	-0.0593	-1.14
$γ_{2}$	0.1784	2.41
$γ_{3}$	-0.2903	-5.81
$γ_{4}$	0.2562	4.45
$γ_{5}$	-0.1283	-1.86
$γ_{6}$	0.1113	1.41
$γ_{7}$	-0.1136	-1.44
$γ_{8}$	0.0492	0.69
$γ_{9}$	-0.0399	-0.29

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts