V-Lab: SMEDI Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SMEDI Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:38.11% (-1.81%)

Analysis last updated: Friday, May 3, 2024 at 12:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0707	4.16
$α$	0.2035	5.24
$β$	0.6650	12.48
$γ_{1}$	0.7605	2.45
$γ_{2}$	-1.4452	-2.92
$γ_{3}$	1.0448	2.63
$γ_{4}$	-0.2929	-0.74
$γ_{5}$	-0.4188	-0.96
$γ_{6}$	0.8286	2.23
$γ_{7}$	-1.1218	-3.00
$γ_{8}$	1.1523	2.94
$γ_{9}$	-0.6259	-2.15

Estimation Period:
Jan 1, 2010 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts