V-Lab: Bank of Baroda Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bank of Baroda Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:29.04% (-1.36%)

Analysis last updated: Saturday, May 18, 2024 at 01:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2476	5.90
$α$	0.1077	5.83
$β$	0.7994	22.09
$γ_{1}$	-0.0617	-1.00
$γ_{2}$	0.1203	1.35
$γ_{3}$	-0.0625	-0.92
$γ_{4}$	-0.0714	-1.04
$γ_{5}$	0.1736	2.87
$γ_{6}$	-0.1318	-1.87
$γ_{7}$	0.0564	0.64
$γ_{8}$	-0.0987	-1.32
$γ_{9}$	0.1253	3.03

Estimation Period:
Feb 24, 1997 to May 10, 2024

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