V-Lab: BM Bank JSC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BM Bank JSC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 16th, 2015:39.06% (-3.45%)

Analysis last updated: Friday, January 29, 2016 at 03:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3114	3.40
$α$	0.2962	5.87
$β$	0.6109	12.15
$γ_{1}$	0.3480	0.38
$γ_{2}$	-0.6233	-0.41
$γ_{3}$	0.0182	0.02
$γ_{4}$	1.3117	1.49
$γ_{5}$	-1.3593	-1.50
$γ_{6}$	-0.3997	-0.48
$γ_{7}$	1.4851	2.32
$γ_{8}$	-1.0899	-2.47

Estimation Period:
Dec 16, 2004 to Dec 11, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts