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

V-Lab

| |

V-Lab

S&P/ASX 200 Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:12.39% (+3.23%)

Analysis last updated: Tuesday, April 16, 2024 at 07:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8072	7.66
$α$	0.0911	7.81
$β$	0.8649	58.41
$γ_{1}$	-0.0251	-0.60
$γ_{2}$	0.0412	0.61
$γ_{3}$	-0.0884	-1.65
$γ_{4}$	0.2371	4.99
$γ_{5}$	-0.3364	-7.50
$γ_{6}$	0.2576	5.68
$γ_{7}$	-0.1321	-2.84
$γ_{8}$	0.1148	2.39
$γ_{9}$	-0.1852	-2.81

Estimation Period:
May 29, 1992 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts