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

V-Lab

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V-Lab

Shanghai Jiao Yun Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:29.52% (-1.49%)

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
$ω$	1.6372	5.37
$α$	0.1623	9.87
$β$	0.7677	35.84
$γ_{1}$	-0.0350	-0.68
$γ_{2}$	0.0284	0.37
$γ_{3}$	0.1364	2.87
$γ_{4}$	-0.2665	-5.91
$γ_{5}$	0.1894	3.64
$γ_{6}$	-0.0769	-1.30
$γ_{7}$	0.0407	0.64
$γ_{8}$	0.0142	0.17

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts