V-Lab: Ghana Stock Exchange Composite Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Ghana Stock Exchange Composite Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:30.80% (+5.71%)

Analysis last updated: Monday, August 15, 2022, 02:12 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0615	4.30
$α$	0.1410	5.04
$β$	0.7326	12.40
$γ_{1}$	-0.1654	-1.29
$γ_{2}$	0.4222	1.93
$γ_{3}$	-0.4258	-2.02
$γ_{4}$	0.2819	1.45
$γ_{5}$	-0.1819	-1.42

Estimation Period:
Jan 4, 2011 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other Ghana Stock Exchange Composite Index Analyses
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EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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