V-Lab: Colombia COLCAP Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Colombia COLCAP Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:19.00% (+3.24%)

Analysis last updated: Friday, June 2, 2023 at 04:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3473	5.62
$α$	0.1840	6.81
$β$	0.7393	24.93
$γ_{1}$	0.0357	0.85
$γ_{2}$	-0.0516	-0.87
$γ_{3}$	0.0796	2.21
$γ_{4}$	-0.1064	-4.09

Estimation Period:
Jan 16, 2008 to May 26, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts