V-Lab: Gold Spot Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Gold Spot Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:14.26% (+1.74%)

Analysis last updated: Monday, November 22, 2021 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4709	4.62
$α$	0.0484	5.83
$β$	0.9368	92.98
$γ_{1}$	0.0497	4.70
$γ_{2}$	-0.0627	-3.95
$γ_{3}$	0.0062	0.56
$γ_{4}$	0.0118	1.65

Estimation Period:
Jan 2, 1990 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts