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

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V-Lab

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

Volatility Prediction for Monday, April 29th, 2024:13.85% (+1.24%)

Analysis last updated: Friday, April 26, 2024 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8474	7.79
$α$	0.0908	7.89
$β$	0.8673	60.28
$γ_{1}$	-0.0057	-0.13
$γ_{2}$	0.0100	0.15
$γ_{3}$	-0.0666	-1.22
$γ_{4}$	0.2174	4.48
$γ_{5}$	-0.3167	-6.92
$γ_{6}$	0.2357	5.09
$γ_{7}$	-0.1025	-2.17
$γ_{8}$	0.0611	1.36
$γ_{9}$	-0.0492	-1.64

Estimation Period:
May 29, 1992 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts