V-Lab: Boryung Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Boryung Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:31.79% (-1.14%)

Analysis last updated: Saturday, April 27, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7837	7.73
$α$	0.1193	8.59
$β$	0.8029	38.99
$γ_{1}$	-0.0070	-0.19
$γ_{2}$	0.0297	0.54
$γ_{3}$	-0.1208	-3.20
$γ_{4}$	0.1967	5.26
$γ_{5}$	-0.1351	-3.45
$γ_{6}$	0.0270	0.62
$γ_{7}$	0.0389	0.78
$γ_{8}$	-0.0528	-1.12
$γ_{9}$	0.0309	1.02

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts