V-Lab: Gold Spot Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Gold Spot Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:15.98% (+1.57%)

Analysis last updated: Monday, November 22, 2021 at 09:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6701	4.69
$α$	0.0498	5.78
$β$	0.9326	84.19
$γ_{1}$	0.0806	4.32
$γ_{2}$	-0.0965	-3.37
$γ_{3}$	0.0160	0.86
$γ_{4}$	-0.0191	-1.29
$γ_{5}$	0.0584	2.61

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts