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

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V-Lab

Seong An Materials Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:23.02% (-3.25%)

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
$ω$	7.2338	5.05
$α$	0.3512	28.79
$β$	0.6474	53.16
$γ_{1}$	-0.1041	-0.64
$γ_{2}$	0.0498	0.20
$γ_{3}$	0.1231	0.64
$γ_{4}$	-0.0970	-0.58
$γ_{5}$	0.1211	0.72
$γ_{6}$	-0.4702	-1.87
$γ_{7}$	1.2974	2.93
$γ_{8}$	-5.5304	-7.46
$γ_{9}$	13.8983	7.35
$γ_{10}$	-21.9862	-4.11

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

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Volatility Forecasts

Volatility Forecasts