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

V-Lab

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

Volatility Prediction for Thursday, April 17th, 2025:29.54% (-3.07%)

Analysis last updated: Thursday, April 17, 2025 at 11:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1153	3.03
$α$	0.1432	8.01
$β$	0.7999	36.55
$γ_{1}$	0.1151	2.75
$γ_{2}$	-0.1977	-3.49
$γ_{3}$	0.1291	4.43
$γ_{4}$	-0.0701	-3.32
$γ_{5}$	0.0222	1.30
$γ_{6}$	0.0148	0.94
$γ_{7}$	-0.0170	-1.42

Estimation Period:
Jan 1, 1991 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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