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, November 15th, 2024:15.96% (-0.30%)

Analysis last updated: Friday, November 15, 2024 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2498	6.18
$α$	0.1819	6.96
$β$	0.7456	26.40
$γ_{1}$	-0.0058	-0.31
$γ_{2}$	0.0403	1.52
$γ_{3}$	-0.0532	-3.94

Estimation Period:
Jan 16, 2008 to Mar 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts