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

V-Lab

| |

V-Lab

E-World Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:80.80% (+0.60%)

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
$ω$	0.8448	3.08
$α$	0.2221	7.42
$β$	0.6193	15.46
$γ_{1}$	0.4406	1.08
$γ_{2}$	-0.6061	-1.09
$γ_{3}$	-0.1950	-0.76
$γ_{4}$	0.8963	3.28
$γ_{5}$	-0.7347	-2.22
$γ_{6}$	-0.1085	-0.33
$γ_{7}$	0.8740	3.17
$γ_{8}$	-1.0516	-3.61
$γ_{9}$	0.5601	1.93
$γ_{10}$	0.7173	2.30

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts