V-Lab: Ukrsotsbank JSCB AGARCH Volatility Analysis

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V-Lab

Ukrsotsbank JSCB AGARCH Volatility Analysis

Volatility Prediction for Monday, December 26th, 2016:86.47% (+10.63%)

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
$ω$	3.2211	18.65
$α$	0.2744	22.72
$β$	0.5762	54.42
$γ$	0.9397	6.19

Estimation Period:
Apr 13, 2006 to Dec 23, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts