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

V-Lab

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V-Lab

BM Bank JSC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 16th, 2015:36.73% (-3.63%)

Analysis last updated: Friday, January 29, 2016 at 02:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3109	3.41
$α$	0.2958	5.86
$β$	0.6101	12.06
$γ_{1}$	0.3595	0.40
$γ_{2}$	-0.6402	-0.42
$γ_{3}$	0.0291	0.03
$γ_{4}$	1.2967	1.47
$γ_{5}$	-1.3332	-1.46
$γ_{6}$	-0.4539	-0.54
$γ_{7}$	1.6175	2.18
$γ_{8}$	-1.4480	-1.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts