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, June 2nd, 2023:8.10% (-0.93%)

Analysis last updated: Saturday, June 3, 2023 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7371	4.64
$α$	0.1361	5.43
$β$	0.7251	16.16
$γ_{1}$	0.0861	0.85
$γ_{2}$	-0.0778	-0.48
$γ_{3}$	0.0241	0.18
$γ_{4}$	-0.1494	-1.23
$γ_{5}$	0.2662	2.03
$γ_{6}$	-0.3857	-2.91
$γ_{7}$	0.5029	3.99
$γ_{8}$	-0.4052	-3.33
$γ_{9}$	0.2598	2.07
$γ_{10}$	-0.3687	-1.74

Estimation Period:
Jan 3, 1994 to Mar 31, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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