V-Lab: Sims Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Sims Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:28.56% (-1.93%)

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
$ω$	0.6291	6.17
$α$	0.1218	5.75
$β$	0.6012	10.07
$γ_{1}$	-0.1031	-1.73
$γ_{2}$	0.2064	2.35
$γ_{3}$	-0.2120	-3.96
$γ_{4}$	0.2039	5.13
$γ_{5}$	-0.1065	-3.21
$γ_{6}$	-0.0764	-1.85
$γ_{7}$	0.1801	3.37
$γ_{8}$	-0.1350	-2.16
$γ_{9}$	0.0468	0.68
$γ_{10}$	-0.0479	-0.52

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts