V-Lab: Sempio Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sempio Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:25.44% (-0.34%)

Analysis last updated: Saturday, May 4, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0431	4.21
$α$	0.2766	7.31
$β$	0.6614	19.84
$γ_{1}$	0.0368	0.87
$γ_{2}$	-0.0459	-0.72
$γ_{3}$	-0.0581	-1.11
$γ_{4}$	0.1682	2.51
$γ_{5}$	-0.2414	-3.27
$γ_{6}$	0.3023	4.81
$γ_{7}$	-0.2710	-4.25
$γ_{8}$	0.1557	2.12
$γ_{9}$	-0.0571	-0.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts