V-Lab: SMEDI Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SMEDI Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:51.19% (+24.13%)

Analysis last updated: Sunday, May 19, 2024 at 12:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0499	4.38
$α$	0.1950	5.73
$β$	0.6547	12.04
$γ_{1}$	0.8031	2.73
$γ_{2}$	-1.5172	-3.26
$γ_{3}$	1.0851	2.91
$γ_{4}$	-0.3090	-0.83
$γ_{5}$	-0.4183	-0.99
$γ_{6}$	0.8747	2.41
$γ_{7}$	-1.2652	-3.43
$γ_{8}$	1.4843	3.34
$γ_{9}$	-1.4392	-2.15

Estimation Period:
Jan 1, 2010 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts