V-Lab: Monalisa Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Monalisa Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:43.98% (-0.15%)

Analysis last updated: Thursday, May 9, 2024 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6792	4.51
$α$	0.1269	8.21
$β$	0.8378	45.42
$γ_{1}$	-0.0586	-1.12
$γ_{2}$	0.1775	2.37
$γ_{3}$	-0.2897	-5.71
$γ_{4}$	0.2559	4.39
$γ_{5}$	-0.1281	-1.83
$γ_{6}$	0.1093	1.36
$γ_{7}$	-0.1068	-1.34
$γ_{8}$	0.0310	0.43
$γ_{9}$	0.0199	0.15

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts