V-Lab: Ukrsotsbank JSCB Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Ukrsotsbank JSCB Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 26th, 2016:255.87% (+174.65%)

Analysis last updated: Friday, December 23, 2016 at 04:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2537	5.29
$α$	0.2863	3.12
$β$	0.3616	3.53
$γ_{1}$	1.4759	2.89
$γ_{2}$	-2.7520	-3.48
$γ_{3}$	2.3546	5.09
$γ_{4}$	-1.8915	-4.79
$γ_{5}$	1.5202	2.80
$γ_{6}$	-1.0477	-2.38

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts