V-Lab: S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:11.32% (-0.37%)

Analysis last updated: Tuesday, September 17, 2024 at 07:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8935	7.81
$α$	0.0914	8.18
$β$	0.8727	65.41
$γ_{1}$	0.0240	0.96
$γ_{2}$	-0.0772	-2.05
$γ_{3}$	0.1376	5.40
$γ_{4}$	-0.1593	-6.03
$γ_{5}$	0.1006	3.82
$γ_{6}$	-0.0173	-0.79
$γ_{7}$	-0.0151	-1.01

Estimation Period:
May 29, 1992 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts