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 Wednesday, October 4th, 2023:3.53% (-0.05%)

Analysis last updated: Wednesday, October 4, 2023 at 04:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1404	6.23
$α$	0.2552	9.24
$β$	0.6686	23.66
$γ_{1}$	0.5415	2.14
$γ_{2}$	-1.0406	-2.53
$γ_{3}$	1.1817	3.98
$γ_{4}$	-1.0842	-4.08
$γ_{5}$	0.7613	2.74
$γ_{6}$	-1.0633	-4.26
$γ_{7}$	1.1511	6.89

Estimation Period:
Jan 28, 2013 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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