V-Lab: Shanghai Jiao Yun Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Shanghai Jiao Yun Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:45.64% (-2.04%)

Analysis last updated: Wednesday, May 1, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6590	5.43
$α$	0.1610	9.79
$β$	0.7698	36.06
$γ_{1}$	-0.0317	-0.61
$γ_{2}$	0.0248	0.32
$γ_{3}$	0.1355	2.83
$γ_{4}$	-0.2633	-5.77
$γ_{5}$	0.1867	3.58
$γ_{6}$	-0.0790	-1.36
$γ_{7}$	0.0547	0.94
$γ_{8}$	-0.0332	-0.76

Estimation Period:
Sep 28, 1993 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts