V-Lab: YG PLUS Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

YG PLUS Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:33.65% (-0.53%)

Analysis last updated: Wednesday, May 1, 2024 at 09:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3793	4.32
$α$	0.1341	6.84
$β$	0.7512	22.40
$γ_{1}$	0.4903	4.41
$γ_{2}$	-0.7538	-4.85
$γ_{3}$	0.4639	4.53
$γ_{4}$	-0.3236	-3.03
$γ_{5}$	0.0668	0.54
$γ_{6}$	0.2367	1.75
$γ_{7}$	-0.3425	-2.35
$γ_{8}$	0.2226	1.86

Estimation Period:
Aug 1, 2003 to Apr 30, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts