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

V-Lab

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V-Lab

Light SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:46.50% (-0.39%)

Analysis last updated: Wednesday, May 1, 2024 at 04:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.3573	4.67
$α$	0.1105	7.09
$β$	0.7743	25.88
$γ_{1}$	-0.0014	-0.02
$γ_{2}$	0.1383	1.54
$γ_{3}$	-0.1740	-3.05
$γ_{4}$	0.0098	0.14
$γ_{5}$	0.0139	0.19
$γ_{6}$	0.0161	0.26
$γ_{7}$	0.1082	1.72
$γ_{8}$	-0.2477	-3.74
$γ_{9}$	0.2324	4.18
$γ_{10}$	-0.1369	-3.57

Estimation Period:
Dec 20, 1991 to Apr 26, 2024

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Volatility Forecasts