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 Monday, December 23rd, 2024:13.31% (-0.63%)

Analysis last updated: Saturday, December 21, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0931	2.95
$α$	0.1400	7.84
$β$	0.8029	36.55
$γ_{1}$	0.1157	2.66
$γ_{2}$	-0.1981	-3.36
$γ_{3}$	0.1268	4.24
$γ_{4}$	-0.0645	-3.02
$γ_{5}$	0.0147	0.86
$γ_{6}$	0.0210	1.29
$γ_{7}$	-0.0196	-1.55

Estimation Period:
Jan 1, 1991 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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