V-Lab: E-World Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E-World Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:46.75% (-1.88%)

Analysis last updated: Saturday, May 4, 2024 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8330	3.07
$α$	0.2191	7.34
$β$	0.6214	15.19
$γ_{1}$	0.4318	1.07
$γ_{2}$	-0.6010	-1.09
$γ_{3}$	-0.1804	-0.72
$γ_{4}$	0.8769	3.26
$γ_{5}$	-0.7228	-2.22
$γ_{6}$	-0.1241	-0.38
$γ_{7}$	0.9412	3.43
$γ_{8}$	-1.2633	-4.31
$γ_{9}$	1.1037	3.19
$γ_{10}$	-0.6162	-2.10

Estimation Period:
Jul 26, 2005 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts