V-Lab: Budapest Stock Exchange Budapest Stock Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Budapest Stock Exchange Budapest Stock Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:12.61% (+0.46%)

Analysis last updated: Saturday, October 26, 2024 at 07:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0986	2.98
$α$	0.1400	7.82
$β$	0.8026	36.37
$γ_{1}$	0.1180	2.71
$γ_{2}$	-0.2010	-3.40
$γ_{3}$	0.1269	4.22
$γ_{4}$	-0.0625	-2.91
$γ_{5}$	0.0115	0.66
$γ_{6}$	0.0243	1.46
$γ_{7}$	-0.0217	-1.67

Estimation Period:
Jan 1, 1991 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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