V-Lab: GAGFAH SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

GAGFAH SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 3rd, 2017:24.25% (+1.07%)

Analysis last updated: Friday, June 30, 2017 at 07:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8815	2.69
$α$	0.1050	3.63
$β$	0.7891	15.57
$γ_{1}$	0.4882	0.93
$γ_{2}$	-1.3079	-1.79
$γ_{3}$	1.5348	3.72
$γ_{4}$	-1.3534	-3.94
$γ_{5}$	1.0932	2.74
$γ_{6}$	-0.5201	-0.93
$γ_{7}$	0.0378	0.07

Estimation Period:
Oct 18, 2006 to Jun 30, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts