V-Lab: SMEDI Spline-GARCH Volatility Analysis

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V-Lab

SMEDI Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:27.73% (-1.46%)

Analysis last updated: Friday, May 3, 2024 at 10:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0492	4.41
$α$	0.1929	5.75
$β$	0.6556	12.10
$γ_{1}$	0.8192	2.78
$γ_{2}$	-1.5434	-3.30
$γ_{3}$	1.0987	2.94
$γ_{4}$	-0.3104	-0.83
$γ_{5}$	-0.4251	-1.02
$γ_{6}$	0.8872	2.46
$γ_{7}$	-1.2820	-3.41
$γ_{8}$	1.5022	3.32
$γ_{9}$	-1.4761	-2.15

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts