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

V-Lab

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V-Lab

E-World Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:76.96% (-0.12%)

Analysis last updated: Sunday, May 19, 2024 at 12:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8437	3.10
$α$	0.2207	7.41
$β$	0.6204	15.48
$γ_{1}$	0.4416	1.09
$γ_{2}$	-0.6145	-1.11
$γ_{3}$	-0.1778	-0.71
$γ_{4}$	0.8882	3.33
$γ_{5}$	-0.7553	-2.33
$γ_{6}$	-0.0657	-0.20
$γ_{7}$	0.8413	3.08
$γ_{8}$	-1.0651	-3.75
$γ_{9}$	0.6508	2.20
$γ_{10}$	0.5203	1.92

Estimation Period:
Jul 26, 2005 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts