V-Lab: Shinkin Central Bank Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Shinkin Central Bank Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:6.32% (-0.95%)

Analysis last updated: Sunday, May 19, 2024 at 12:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9265	3.16
$α$	0.3832	10.60
$β$	0.6108	17.24
$γ_{1}$	-0.1599	-0.52
$γ_{2}$	0.1571	0.38
$γ_{3}$	0.2747	1.20
$γ_{4}$	-0.7475	-3.52
$γ_{5}$	0.7855	3.75
$γ_{6}$	-0.4138	-1.77
$γ_{7}$	0.1373	0.51
$γ_{8}$	-0.0280	-0.11
$γ_{9}$	-0.0013	-0.01

Estimation Period:
Dec 22, 2000 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts