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, December 1st, 2023:14.64% (+0.13%)

Analysis last updated: Friday, December 1, 2023 at 02:54 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2373	5.97
$α$	0.1795	6.87
$β$	0.7509	26.83
$γ_{1}$	-0.0096	-0.47
$γ_{2}$	0.0478	1.65
$γ_{3}$	-0.0586	-3.91

Estimation Period:
Jan 16, 2008 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts