V-Lab: Sempio Co Spline-GARCH Volatility Analysis

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V-Lab

Sempio Co Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:26.55% (+1.60%)

Analysis last updated: Wednesday, May 15, 2024 at 02:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0478	4.34
$α$	0.2789	7.18
$β$	0.6558	19.27
$γ_{1}$	0.0434	1.04
$γ_{2}$	-0.0536	-0.86
$γ_{3}$	-0.0600	-1.17
$γ_{4}$	0.1763	2.67
$γ_{5}$	-0.2536	-3.47
$γ_{6}$	0.3212	5.14
$γ_{7}$	-0.3063	-4.64
$γ_{8}$	0.2307	2.70
$γ_{9}$	-0.2446	-2.31

Estimation Period:
Jan 3, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts