V-Lab: Rosgosstrakh PJSC Asy. MEM Volatility Analysis

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V-Lab

Rosgosstrakh PJSC Asy. MEM Volatility Analysis

Volatility Prediction for Monday, July 11th, 2022:41.97% (+2.76%)

Analysis last updated: Wednesday, July 20, 2022 at 06:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	5.0000	12.91
$α$	0.5313	15.31
$β$	0.0915	7.02
$γ$	-0.1021	-2.08

Estimation Period:
Dec 9, 2013 to Jul 8, 2022

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts