V-Lab: Bank of Baroda Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bank of Baroda Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:30.04% (-0.56%)

Analysis last updated: Sunday, May 5, 2024 at 12:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2350	5.84
$α$	0.1078	5.83
$β$	0.7994	22.08
$γ_{1}$	-0.0694	-1.12
$γ_{2}$	0.1320	1.48
$γ_{3}$	-0.0686	-1.00
$γ_{4}$	-0.0684	-0.99
$γ_{5}$	0.1720	2.83
$γ_{6}$	-0.1305	-1.85
$γ_{7}$	0.0556	0.64
$γ_{8}$	-0.0985	-1.33
$γ_{9}$	0.1249	3.04

Estimation Period:
Feb 24, 1997 to May 3, 2024

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