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, November 20th, 2024:17.43% (+2.13%)

Analysis last updated: Thursday, November 21, 2024 at 02:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0970	2.96
$α$	0.1403	7.84
$β$	0.8026	36.45
$γ_{1}$	0.1167	2.67
$γ_{2}$	-0.1992	-3.37
$γ_{3}$	0.1264	4.21
$γ_{4}$	-0.0631	-2.94
$γ_{5}$	0.0127	0.73
$γ_{6}$	0.0230	1.39
$γ_{7}$	-0.0209	-1.62

Estimation Period:
Jan 1, 1991 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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