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

V-Lab

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V-Lab

Shinkin Central Bank Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:6.66% (-0.92%)

Analysis last updated: Sunday, May 19, 2024 at 12:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9029	3.17
$α$	0.3851	10.59
$β$	0.6090	17.05
$γ_{1}$	-0.1690	-0.55
$γ_{2}$	0.1668	0.41
$γ_{3}$	0.2788	1.22
$γ_{4}$	-0.7607	-3.59
$γ_{5}$	0.8055	3.84
$γ_{6}$	-0.4408	-1.87
$γ_{7}$	0.1794	0.64
$γ_{8}$	-0.1112	-0.41
$γ_{9}$	0.2074	0.70

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts