V-Lab: Ecuador Guayaquil Stock Exchange BVG Spline-GARCH Volatility Analysis

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V-Lab

Ecuador Guayaquil Stock Exchange BVG Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:6.93% (+0.04%)

Analysis last updated: Friday, December 1, 2023 at 05:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7106	4.68
$α$	0.1254	5.33
$β$	0.7396	16.40
$γ_{1}$	0.0750	0.76
$γ_{2}$	-0.0552	-0.35
$γ_{3}$	-0.0112	-0.09
$γ_{4}$	-0.0908	-0.80
$γ_{5}$	0.1878	1.55
$γ_{6}$	-0.2933	-2.30
$γ_{7}$	0.4197	3.25
$γ_{8}$	-0.3430	-2.78
$γ_{9}$	0.1748	1.34
$γ_{10}$	-0.1697	-0.79

Estimation Period:
Jan 3, 1994 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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