V-Lab: CCR SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

CCR SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:21.32% (+0.04%)

Analysis last updated: Thursday, May 2, 2024 at 04:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7327	4.50
$α$	0.0921	6.22
$β$	0.8266	26.84
$γ_{1}$	0.0619	0.56
$γ_{2}$	0.0773	0.48
$γ_{3}$	-0.3413	-2.76
$γ_{4}$	0.3064	2.57
$γ_{5}$	-0.0106	-0.11
$γ_{6}$	-0.2313	-2.40
$γ_{7}$	0.2538	2.52
$γ_{8}$	-0.2790	-2.82
$γ_{9}$	0.2607	3.87

Estimation Period:
Feb 4, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts