V-Lab: Tongyang Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Tongyang Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:10.40% (-0.35%)

Analysis last updated: Saturday, May 11, 2024 at 03:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4920	5.17
$α$	0.1314	7.54
$β$	0.7922	29.03
$γ_{1}$	-0.0552	-1.19
$γ_{2}$	0.1320	2.03
$γ_{3}$	-0.1820	-4.07
$γ_{4}$	0.1539	3.25
$γ_{5}$	-0.0566	-1.30
$γ_{6}$	0.0021	0.05
$γ_{7}$	-0.0435	-0.86
$γ_{8}$	0.1593	2.76
$γ_{9}$	-0.3647	-3.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts