V-Lab: HarbourVest Global Private Equity Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

HarbourVest Global Private Equity Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:23.59% (+3.94%)

Analysis last updated: Saturday, September 21, 2024 at 12:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4446	5.19
$α$	0.1532	6.89
$β$	0.7763	25.14
$γ_{1}$	0.1075	3.93
$γ_{2}$	-0.1045	-2.73
$γ_{3}$	-0.0249	-1.35

Estimation Period:
May 11, 2010 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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