V-Lab: Bank Handlowy w Warszawie SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bank Handlowy w Warszawie SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:25.97% (-0.48%)

Analysis last updated: Saturday, May 4, 2024 at 09:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5282	4.48
$α$	0.0744	6.14
$β$	0.8728	45.64
$γ_{1}$	-0.1542	-2.11
$γ_{2}$	0.3348	2.96
$γ_{3}$	-0.2507	-2.07
$γ_{4}$	0.0675	0.50
$γ_{5}$	0.0095	0.09
$γ_{6}$	-0.0233	-0.33
$γ_{7}$	0.0479	0.85
$γ_{8}$	-0.0489	-1.27

Estimation Period:
Jul 7, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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