V-Lab: Bangladesh Dhaka Stock Exchange Broad Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bangladesh Dhaka Stock Exchange Broad Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 15th, 2024:7.46% (-1.07%)

Analysis last updated: Saturday, April 13, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7769	5.58
$α$	0.2048	8.46
$β$	0.7508	36.57
$γ_{1}$	0.1734	0.62
$γ_{2}$	-0.3858	-0.82
$γ_{3}$	0.6757	1.85
$γ_{4}$	-0.9561	-3.04
$γ_{5}$	1.0191	2.80
$γ_{6}$	-1.2861	-3.48
$γ_{7}$	1.2252	4.75

Estimation Period:
Jan 28, 2013 to Apr 11, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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