V-Lab: Eugene Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Eugene Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:48.92% (-0.94%)

Analysis last updated: Thursday, May 16, 2024 at 11:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8185	6.47
$α$	0.0978	7.78
$β$	0.8589	41.01
$γ_{1}$	-0.0184	-0.34
$γ_{2}$	0.1262	1.47
$γ_{3}$	-0.2331	-3.53
$γ_{4}$	0.1303	2.00
$γ_{5}$	0.0509	0.78
$γ_{6}$	-0.1508	-2.28
$γ_{7}$	0.2173	3.15
$γ_{8}$	-0.1926	-2.25
$γ_{9}$	0.0786	0.77
$γ_{10}$	0.1201	1.15

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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