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, April 29th, 2024:12.81% (+1.36%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8069	7.64
$α$	0.0907	7.80
$β$	0.8656	58.67
$γ_{1}$	-0.0250	-0.60
$γ_{2}$	0.0407	0.61
$γ_{3}$	-0.0873	-1.63
$γ_{4}$	0.2356	4.96
$γ_{5}$	-0.3355	-7.48
$γ_{6}$	0.2574	5.66
$γ_{7}$	-0.1308	-2.79
$γ_{8}$	0.1094	2.25
$γ_{9}$	-0.1652	-2.43

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts