V-Lab: GAGFAH SA Spline-GARCH Volatility Analysis

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V-Lab

GAGFAH SA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 3rd, 2017:34.64% (+0.79%)

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
$ω$	0.9800	2.19
$α$	0.1148	3.88
$β$	0.7623	13.96
$γ_{1}$	1.1711	0.94
$γ_{2}$	-1.6636	-1.03
$γ_{3}$	-0.5018	-0.66
$γ_{4}$	2.6309	3.03
$γ_{5}$	-2.8944	-3.32
$γ_{6}$	1.3994	1.79
$γ_{7}$	0.5968	0.60
$γ_{8}$	-1.5699	-1.20
$γ_{9}$	1.4954	1.21
$γ_{10}$	-0.1444	-0.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts