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 Thursday, October 5th, 2023:11.03% (+0.13%)

Analysis last updated: Wednesday, October 4, 2023 at 04:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7991	7.48
$α$	0.0927	7.92
$β$	0.8643	58.87
$γ_{1}$	-0.0339	-0.76
$γ_{2}$	0.0580	0.81
$γ_{3}$	-0.1073	-1.90
$γ_{4}$	0.2555	5.13
$γ_{5}$	-0.3372	-7.20
$γ_{6}$	0.2368	5.22
$γ_{7}$	-0.1110	-2.47
$γ_{8}$	0.1098	2.44
$γ_{9}$	-0.1846	-2.80

Estimation Period:
May 29, 1992 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts