V-Lab: Centuria Capital Group Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Centuria Capital Group Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:31.07% (+0.40%)

Analysis last updated: Saturday, May 11, 2024 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9042	4.57
$α$	0.1373	7.37
$β$	0.7106	18.16
$γ_{1}$	-0.1946	-2.23
$γ_{2}$	0.5639	4.37
$γ_{3}$	-0.7663	-7.17
$γ_{4}$	0.5794	5.77
$γ_{5}$	-0.2511	-2.92
$γ_{6}$	0.1326	1.55
$γ_{7}$	-0.0440	-0.54
$γ_{8}$	-0.0574	-1.06

Estimation Period:
Mar 27, 2002 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts