V-Lab: CITIC Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CITIC Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:28.74% (-0.91%)

Analysis last updated: Saturday, May 4, 2024 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8645	5.82
$α$	0.1089	9.44
$β$	0.8539	63.34
$γ_{1}$	-0.0798	-2.41
$γ_{2}$	0.1641	3.32
$γ_{3}$	-0.2048	-6.15
$γ_{4}$	0.2428	6.90
$γ_{5}$	-0.1939	-4.36
$γ_{6}$	0.0607	1.28
$γ_{7}$	0.0766	1.96
$γ_{8}$	-0.1018	-4.10

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts