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

V-Lab

S&P/ASX 200 Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:16.73% (-0.55%)

Analysis last updated: Friday, May 9, 2025 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0608	9.77
$α$	0.0927	8.86
$β$	0.8871	82.99
$γ_{1}$	0.0009	1.53

Estimation Period:
May 29, 1992 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts