V-Lab: S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:12.59% (-0.55%)

Analysis last updated: Wednesday, April 24, 2024 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8403	7.70
$α$	0.0907	7.89
$β$	0.8677	60.51
$γ_{1}$	-0.0065	-0.15
$γ_{2}$	0.0102	0.15
$γ_{3}$	-0.0654	-1.20
$γ_{4}$	0.2163	4.46
$γ_{5}$	-0.3159	-6.90
$γ_{6}$	0.2350	5.07
$γ_{7}$	-0.1018	-2.16
$γ_{8}$	0.0603	1.34
$γ_{9}$	-0.0484	-1.61

Estimation Period:
May 29, 1992 to Apr 24, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts