V-Lab: Harvest CSI Gilt-Edged Medium Term Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Harvest CSI Gilt-Edged Medium Term Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 14th, 2022:13.55% (+0.04%)

Analysis last updated: Monday, June 13, 2022 at 02:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2487	2.95
$α$	0.5114	6.02
$β$	0.3162	4.09
$γ_{1}$	-3.1318	-1.32
$γ_{2}$	8.1564	2.15
$γ_{3}$	-12.4781	-3.61
$γ_{4}$	12.9666	3.45
$γ_{5}$	-7.8653	-2.10
$γ_{6}$	0.5422	0.17
$γ_{7}$	2.9646	1.05
$γ_{8}$	1.9564	0.60
$γ_{9}$	-5.3172	-1.76

Estimation Period:
Aug 5, 2013 to Jun 10, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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