V-Lab: Turk Ekonomi Bankasi AS Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Turk Ekonomi Bankasi AS Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 17th, 2015:151.99% (-9.57%)

Analysis last updated: Friday, January 29, 2016 at 03:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8828	5.72
$α$	0.1021	5.38
$β$	0.7676	14.84
$γ_{1}$	-0.8532	-3.08
$γ_{2}$	1.0163	2.54
$γ_{3}$	-0.0495	-0.17
$γ_{4}$	-0.3551	-1.21
$γ_{5}$	0.6003	1.95
$γ_{6}$	-0.6745	-2.25
$γ_{7}$	0.3468	1.03
$γ_{8}$	0.1119	0.22
$γ_{9}$	-0.4174	-0.65
$γ_{10}$	1.2985	1.42

Estimation Period:
Feb 25, 2000 to Apr 10, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts