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

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V-Lab

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

Volatility Prediction for Tuesday, January 21st, 2025:15.01% (+1.12%)

Analysis last updated: Tuesday, January 21, 2025 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0959	2.95
$α$	0.1398	7.86
$β$	0.8036	36.83
$γ_{1}$	0.1154	2.66
$γ_{2}$	-0.1978	-3.37
$γ_{3}$	0.1276	4.28
$γ_{4}$	-0.0663	-3.10
$γ_{5}$	0.0174	1.01
$γ_{6}$	0.0175	1.08
$γ_{7}$	-0.0166	-1.33

Estimation Period:
Jan 1, 1991 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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