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

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V-Lab

Budapest Stock Exchange Budapest Stock Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 10th, 2024:12.08% (-0.80%)

Analysis last updated: Thursday, October 10, 2024 at 08:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0890	3.08
$α$	0.1417	7.85
$β$	0.7957	34.69
$γ_{1}$	0.1211	2.86
$γ_{2}$	-0.2055	-3.57
$γ_{3}$	0.1278	4.38
$γ_{4}$	-0.0584	-2.80
$γ_{5}$	-0.0034	-0.19
$γ_{6}$	0.0635	3.00
$γ_{7}$	-0.1187	-3.40

Estimation Period:
Jan 1, 1991 to Oct 4, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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