V-Lab: Budapest Stock Exchange Budapest Stock Index APARCH Volatility Analysis

V-Lab

Budapest Stock Exchange Budapest Stock Index APARCH Volatility Analysis

Volatility Prediction for Thursday, June 30th, 2022:26.06% (-0.09%)

Analysis last updated: Thursday, June 30, 2022, 04:37 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0865	15.46
$α$	0.1492	29.61
$β$	0.8148	118.10
$γ$	0.1320	11.82
$δ$	2.0777	27.87

Estimation Period:
Jan 1, 1991 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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AGARCH
Spline-GARCH
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GAS-GARCH Student T
MF2-GARCH

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