V-Lab: DenizBank AS Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

DenizBank AS Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 15th, 2019:51.28% (-2.69%)

Analysis last updated: Thursday, November 14, 2019 at 07:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4458	4.35
$α$	0.2735	5.60
$β$	0.6498	12.47
$γ_{1}$	0.0952	1.74
$γ_{2}$	-0.1792	-2.32
$γ_{3}$	0.1949	3.80
$γ_{4}$	-0.1716	-4.29

Estimation Period:
Sep 30, 2004 to Nov 8, 2019

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Impact of return on volatility tomorrow

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