V-Lab: MiraeING Spline-GARCH Volatility Analysis

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V-Lab

MiraeING Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:24.04% (-0.25%)

Analysis last updated: Thursday, May 16, 2024 at 11:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1379	3.18
$α$	0.1958	5.80
$β$	0.6953	17.98
$γ_{1}$	-0.2553	-1.35
$γ_{2}$	0.4241	1.59
$γ_{3}$	-0.1603	-1.00
$γ_{4}$	-0.1696	-1.30
$γ_{5}$	0.3891	3.02
$γ_{6}$	-0.3503	-2.48
$γ_{7}$	0.1107	0.76
$γ_{8}$	-0.1165	-0.73
$γ_{9}$	0.4764	2.26
$γ_{10}$	-0.8530	-2.56

Estimation Period:
Nov 29, 1999 to May 14, 2024

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Volatility Forecasts

Volatility Forecasts