V-Lab: Rosgosstrakh PJSC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Rosgosstrakh PJSC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:4.23992117379557e+153% (0.00%)

Analysis last updated: Tuesday, May 7, 2024 at 09:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	35.5799	355799400.00
$α$	0.2266	2266380.00
$β$	0.7279	7278730.00
$γ_{1}$	119.1280	1191280000.00
$γ_{2}$	-146.9037	-1469037000.00
$γ_{3}$	24.6430	246429900.00
$γ_{4}$	45.7581	457580800.00
$γ_{5}$	-109.8623	-1098623000.00
$γ_{6}$	135.4280	1354280000.00
$γ_{7}$	-574.8761	-5748761000.00
$γ_{8}$	972.5161	9725161000.00

Estimation Period:
Nov 25, 2013 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts