V-Lab: E Fund CSI 300 Health Care Index ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

E Fund CSI 300 Health Care Index ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 4th, 2024:22.32% (-1.05%)

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
$ω$	1.0497	6.84
$α$	0.0659	3.83
$β$	0.8433	18.95
$γ_{1}$	2.8163	5.32
$γ_{2}$	-5.4542	-6.30
$γ_{3}$	4.4365	6.43
$γ_{4}$	-1.8376	-2.72
$γ_{5}$	-0.9483	-1.34
$γ_{6}$	2.2510	2.51
$γ_{7}$	-2.4187	-2.11
$γ_{8}$	1.4003	1.42
$γ_{9}$	-0.0601	-0.12

Estimation Period:
Oct 28, 2013 to Mar 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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