V-Lab: Seong An Materials Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Seong An Materials Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:110.32% (-1.34%)

Analysis last updated: Saturday, May 18, 2024 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3853	4.30
$α$	0.2002	12.44
$β$	0.7988	57.23
$γ_{1}$	-0.4439	-0.42
$γ_{2}$	0.4158	0.36
$γ_{3}$	0.0643	0.23
$γ_{4}$	0.0000	0.00
$γ_{5}$	-0.0810	-0.42
$γ_{6}$	-0.0520	-0.23
$γ_{7}$	0.4435	1.55
$γ_{8}$	-1.3832	-4.72
$γ_{9}$	2.6305	11.46
$γ_{10}$	-2.3835	-23.28

Estimation Period:
Feb 18, 1997 to May 14, 2024

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