V-Lab: Light SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Light SA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:43.09% (+0.18%)

Analysis last updated: Thursday, May 2, 2024 at 04:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.5311	4.86
$α$	0.1051	7.11
$β$	0.7958	29.80
$γ_{1}$	-0.0046	-0.07
$γ_{2}$	0.1508	1.67
$γ_{3}$	-0.1894	-3.21
$γ_{4}$	0.0182	0.25
$γ_{5}$	0.0128	0.17
$γ_{6}$	0.0106	0.16
$γ_{7}$	0.1202	1.83
$γ_{8}$	-0.2649	-3.83
$γ_{9}$	0.2543	3.79
$γ_{10}$	-0.1788	-1.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts