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

V-Lab

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V-Lab

Shinkin Central Bank Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:5.29% (-1.01%)

Analysis last updated: Saturday, May 4, 2024 at 11:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9094	3.18
$α$	0.3853	10.56
$β$	0.6088	16.99
$γ_{1}$	-0.1680	-0.55
$γ_{2}$	0.1638	0.40
$γ_{3}$	0.2844	1.24
$γ_{4}$	-0.7665	-3.58
$γ_{5}$	0.8062	3.81
$γ_{6}$	-0.4361	-1.84
$γ_{7}$	0.1727	0.62
$γ_{8}$	-0.1020	-0.38
$γ_{9}$	0.1816	0.61

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts