V-Lab: Reinet Investments SCA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Reinet Investments SCA Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:39.27% (-1.19%)

Analysis last updated: Tuesday, April 30, 2024 at 08:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6404	5.00
$α$	0.1414	6.38
$β$	0.6412	10.16
$γ_{1}$	0.5654	2.88
$γ_{2}$	-0.7505	-2.71
$γ_{3}$	0.4745	3.03
$γ_{4}$	-0.6015	-4.44
$γ_{5}$	0.5505	3.76
$γ_{6}$	-0.4415	-2.83
$γ_{7}$	0.1669	1.07
$γ_{8}$	0.3360	1.29

Estimation Period:
Oct 21, 2008 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts