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

V-Lab

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V-Lab

Shanghai Jiao Yun Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:47.31% (-2.00%)

Analysis last updated: Wednesday, May 1, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6437	5.34
$α$	0.1605	9.83
$β$	0.7715	36.41
$γ_{1}$	-0.0351	-0.67
$γ_{2}$	0.0285	0.37
$γ_{3}$	0.1368	2.84
$γ_{4}$	-0.2664	-5.81
$γ_{5}$	0.1876	3.55
$γ_{6}$	-0.0736	-1.23
$γ_{7}$	0.0349	0.54
$γ_{8}$	0.0290	0.35

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts