V-Lab: Sims Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Sims Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:32.04% (-1.54%)

Analysis last updated: Thursday, May 2, 2024 at 03:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6603	6.29
$α$	0.1173	5.83
$β$	0.6364	11.47
$γ_{1}$	-0.0762	-1.24
$γ_{2}$	0.1609	1.78
$γ_{3}$	-0.1779	-3.26
$γ_{4}$	0.1775	4.40
$γ_{5}$	-0.0920	-2.73
$γ_{6}$	-0.0777	-1.85
$γ_{7}$	0.1710	3.18
$γ_{8}$	-0.1172	-1.92
$γ_{9}$	0.0121	0.20
$γ_{10}$	0.0364	0.92

Estimation Period:
Nov 25, 1991 to Apr 26, 2024

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