V-Lab: Shanghai Jiao Yun Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shanghai Jiao Yun Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:27.74% (-1.57%)

Analysis last updated: Thursday, May 16, 2024 at 08:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6536	5.45
$α$	0.1628	9.85
$β$	0.7662	35.67
$γ_{1}$	-0.0316	-0.61
$γ_{2}$	0.0248	0.32
$γ_{3}$	0.1349	2.85
$γ_{4}$	-0.2629	-5.85
$γ_{5}$	0.1873	3.65
$γ_{6}$	-0.0800	-1.40
$γ_{7}$	0.0549	0.95
$γ_{8}$	-0.0327	-0.75

Estimation Period:
Sep 28, 1993 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts