V-Lab: E-World Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E-World Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:40.04% (+1.24%)

Analysis last updated: Tuesday, April 30, 2024 at 09:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8337	3.07
$α$	0.2202	7.35
$β$	0.6187	15.11
$γ_{1}$	0.4350	1.07
$γ_{2}$	-0.6029	-1.09
$γ_{3}$	-0.1854	-0.73
$γ_{4}$	0.8787	3.24
$γ_{5}$	-0.7099	-2.16
$γ_{6}$	-0.1494	-0.46
$γ_{7}$	0.9652	3.51
$γ_{8}$	-1.2746	-4.30
$γ_{9}$	1.1012	3.20
$γ_{10}$	-0.6078	-2.09

Estimation Period:
Jul 26, 2005 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts