V-Lab: Shanghai SSE180 ETF Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Shanghai SSE180 ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 4th, 2024:17.94% (-0.54%)

Analysis last updated: Friday, March 1, 2024 at 02:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0117	7.29
$α$	0.0698	3.61
$β$	0.9163	45.22
$γ_{1}$	0.0092	2.72

Estimation Period:
Oct 16, 2006 to Mar 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts