V-Lab: Shinkin Central Bank Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Shinkin Central Bank Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:4.95% (-1.06%)

Analysis last updated: Saturday, May 4, 2024 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9318	3.15
$α$	0.3839	10.56
$β$	0.6100	17.11
$γ_{1}$	-0.1580	-0.51
$γ_{2}$	0.1531	0.37
$γ_{3}$	0.2806	1.22
$γ_{4}$	-0.7537	-3.52
$γ_{5}$	0.7869	3.73
$γ_{6}$	-0.4109	-1.75
$γ_{7}$	0.1349	0.50
$γ_{8}$	-0.0292	-0.12
$γ_{9}$	0.0019	0.01

Estimation Period:
Dec 22, 2000 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts