V-Lab: Ukrsotsbank JSCB Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Ukrsotsbank JSCB Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 26th, 2016:261.58% (+166.46%)

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
$ω$	1.2606	5.34
$α$	0.2885	3.17
$β$	0.3450	3.44
$γ_{1}$	1.4829	2.94
$γ_{2}$	-2.7521	-3.52
$γ_{3}$	2.3246	5.04
$γ_{4}$	-1.8119	-4.34
$γ_{5}$	1.3203	2.13
$γ_{6}$	-0.5037	-0.60

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts