V-Lab: Centuria Capital Group Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Centuria Capital Group Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:31.41% (+0.45%)

Analysis last updated: Saturday, April 27, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9048	4.55
$α$	0.1376	7.40
$β$	0.7120	18.35
$γ_{1}$	-0.1949	-2.22
$γ_{2}$	0.5645	4.35
$γ_{3}$	-0.7668	-7.14
$γ_{4}$	0.5798	5.75
$γ_{5}$	-0.2513	-2.91
$γ_{6}$	0.1323	1.54
$γ_{7}$	-0.0433	-0.53
$γ_{8}$	-0.0583	-1.06

Estimation Period:
Mar 27, 2002 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts