V-Lab: SIMPAC Inc Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

SIMPAC Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:39.05% (+0.27%)

Analysis last updated: Sunday, May 19, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6306	5.39
$α$	0.1164	10.09
$β$	0.8167	43.46
$γ_{1}$	-0.0781	-1.35
$γ_{2}$	0.1890	2.26
$γ_{3}$	-0.2210	-3.81
$γ_{4}$	0.0982	1.65
$γ_{5}$	0.0442	0.69
$γ_{6}$	-0.0318	-0.51
$γ_{7}$	-0.0710	-1.15
$γ_{8}$	0.1953	3.02
$γ_{9}$	-0.1555	-2.04
$γ_{10}$	0.0282	0.22

Estimation Period:
Jan 3, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts