V-Lab: IRESS Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

IRESS Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:38.51% (-1.62%)

Analysis last updated: Saturday, April 27, 2024 at 07:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0719	7.70
$α$	0.1016	5.34
$β$	0.5621	7.64
$γ_{1}$	-0.0906	-1.76
$γ_{2}$	0.2261	3.04
$γ_{3}$	-0.2742	-6.00
$γ_{4}$	0.2037	4.82
$γ_{5}$	-0.0686	-1.30
$γ_{6}$	0.0070	0.11
$γ_{7}$	0.0353	0.52
$γ_{8}$	-0.0807	-1.51

Estimation Period:
Nov 3, 2000 to Apr 26, 2024

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