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

V-Lab

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V-Lab

S&P/ASX 200 Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:11.33% (+0.07%)

Analysis last updated: Friday, July 26, 2024 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8133	7.66
$α$	0.0896	7.76
$β$	0.8676	59.37
$γ_{1}$	-0.0209	-0.51
$γ_{2}$	0.0327	0.49
$γ_{3}$	-0.0774	-1.47
$γ_{4}$	0.2239	4.76
$γ_{5}$	-0.3290	-7.42
$γ_{6}$	0.2588	5.65
$γ_{7}$	-0.1328	-2.77
$γ_{8}$	0.1062	2.08
$γ_{9}$	-0.1614	-2.34

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts