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 Wednesday, March 5th, 2025:24.58% (+5.02%)

Analysis last updated: Wednesday, March 5, 2025 at 08:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0768	2.91
$α$	0.1396	7.86
$β$	0.8027	36.61
$γ_{1}$	0.1130	2.61
$γ_{2}$	-0.1950	-3.34
$γ_{3}$	0.1278	4.33
$γ_{4}$	-0.0680	-3.22
$γ_{5}$	0.0196	1.15
$γ_{6}$	0.0164	1.04
$γ_{7}$	-0.0169	-1.39

Estimation Period:
Jan 1, 1991 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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