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

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V-Lab

MiraeING Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:44.45% (-2.29%)

Analysis last updated: Wednesday, May 1, 2024 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2138	3.80
$α$	0.2013	5.68
$β$	0.6990	17.74
$γ_{1}$	-0.1618	-1.49
$γ_{2}$	0.3461	2.24
$γ_{3}$	-0.3545	-3.88
$γ_{4}$	0.3193	3.88
$γ_{5}$	-0.2038	-2.23
$γ_{6}$	-0.0475	-0.46
$γ_{7}$	0.2375	2.48
$γ_{8}$	-0.1817	-2.62

Estimation Period:
Nov 29, 1999 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts