V-Lab: Ukrsotsbank JSCB Asy. MEM Volatility Analysis

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V-Lab

Ukrsotsbank JSCB Asy. MEM Volatility Analysis

Volatility Prediction for Monday, December 26th, 2016:110.44% (-16.21%)

Analysis last updated: Friday, December 23, 2016 at 04:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1999	15.48
$α$	0.4474	3.96
$β$	0.7259	63.24
$γ$	-0.3467	-2.78

Estimation Period:
May 11, 2006 to Dec 23, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts