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

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V-Lab

Centuria Capital Group Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:37.68% (+4.25%)

Analysis last updated: Saturday, May 18, 2024 at 08:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8940	4.52
$α$	0.1381	7.39
$β$	0.7095	18.11
$γ_{1}$	-0.2032	-2.32
$γ_{2}$	0.5770	4.47
$γ_{3}$	-0.7749	-7.29
$γ_{4}$	0.5880	5.86
$γ_{5}$	-0.2582	-2.98
$γ_{6}$	0.1344	1.52
$γ_{7}$	-0.0345	-0.37
$γ_{8}$	-0.1001	-0.96

Estimation Period:
Mar 27, 2002 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts