V-Lab: Bank Handlowy w Warszawie SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bank Handlowy w Warszawie SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:29.07% (-0.74%)

Analysis last updated: Friday, May 17, 2024 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5319	4.56
$α$	0.0742	6.09
$β$	0.8721	45.11
$γ_{1}$	-0.1521	-2.10
$γ_{2}$	0.3316	2.96
$γ_{3}$	-0.2486	-2.06
$γ_{4}$	0.0659	0.49
$γ_{5}$	0.0108	0.11
$γ_{6}$	-0.0248	-0.36
$γ_{7}$	0.0506	0.91
$γ_{8}$	-0.0517	-1.36

Estimation Period:
Jul 7, 1997 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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