V-Lab: NSI NV Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NSI NV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:26.79% (-1.92%)

Analysis last updated: Friday, May 3, 2024 at 06:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9939	4.02
$α$	0.1590	8.83
$β$	0.7193	23.32
$γ_{1}$	-0.0059	-0.05
$γ_{2}$	-0.0205	-0.14
$γ_{3}$	0.2357	2.92
$γ_{4}$	-0.4514	-5.71
$γ_{5}$	0.4202	5.72
$γ_{6}$	-0.3791	-4.66
$γ_{7}$	0.3405	3.90
$γ_{8}$	-0.1297	-1.83
$γ_{9}$	-0.0484	-1.08

Estimation Period:
Apr 3, 1998 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts