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 Monday, November 28th, 2022:5.78% (+0.13%)

Analysis last updated: Sunday, November 27, 2022, 01:07 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7400	4.52
$α$	0.1451	5.48
$β$	0.7144	16.10
$γ_{1}$	0.0925	0.88
$γ_{2}$	-0.0930	-0.55
$γ_{3}$	0.0490	0.37
$γ_{4}$	-0.1874	-1.48
$γ_{5}$	0.3133	2.30
$γ_{6}$	-0.4358	-3.25
$γ_{7}$	0.5394	4.29
$γ_{8}$	-0.4238	-3.40
$γ_{9}$	0.2894	2.34
$γ_{10}$	-0.4285	-2.38

Estimation Period:
Jan 3, 1994 to Nov 25, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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