V-Lab: CITIC Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CITIC Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:34.00% (-1.29%)

Analysis last updated: Sunday, April 21, 2024 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8641	5.81
$α$	0.1088	9.43
$β$	0.8541	63.45
$γ_{1}$	-0.0804	-2.43
$γ_{2}$	0.1654	3.33
$γ_{3}$	-0.2060	-6.17
$γ_{4}$	0.2435	6.87
$γ_{5}$	-0.1934	-4.31
$γ_{6}$	0.0590	1.24
$γ_{7}$	0.0789	2.02
$γ_{8}$	-0.1036	-4.15

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

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