V-Lab: CITIC Heavy Industries Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

CITIC Heavy Industries Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:36.28% (-1.96%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0190	3.07
$α$	0.1619	5.02
$β$	0.6880	12.74
$γ_{1}$	-0.7678	-0.93
$γ_{2}$	3.1082	2.80
$γ_{3}$	-4.9577	-6.37
$γ_{4}$	3.6721	3.85
$γ_{5}$	-0.7731	-0.76
$γ_{6}$	-0.8013	-0.88
$γ_{7}$	0.8147	0.85
$γ_{8}$	-0.3606	-0.32
$γ_{9}$	-0.5095	-0.46
$γ_{10}$	2.5044	1.75

Estimation Period:
Jul 6, 2012 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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