V-Lab: Fidelity China Special Situations PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fidelity China Special Situations PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:36.66% (-2.23%)

Analysis last updated: Tuesday, November 12, 2024 at 10:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5259	4.61
$α$	0.1092	4.95
$β$	0.7908	19.84
$γ_{1}$	-0.6366	-2.00
$γ_{2}$	0.5827	1.32
$γ_{3}$	0.4442	1.84
$γ_{4}$	-0.9114	-3.77
$γ_{5}$	1.0921	4.15
$γ_{6}$	-1.0593	-4.27
$γ_{7}$	0.9852	3.69
$γ_{8}$	-1.1529	-3.64
$γ_{9}$	1.5001	3.57

Estimation Period:
Apr 15, 2010 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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