V-Lab: Caracas Stock Exchange Stock Market Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Caracas Stock Exchange Stock Market Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:35.75% (+2.04%)

Analysis last updated: Friday, April 19, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5434	2.28
$α$	0.3797	5.53
$β$	0.3790	3.55
$γ_{1}$	-3.4080	-2.77
$γ_{2}$	3.0122	1.45
$γ_{3}$	1.9560	1.18
$γ_{4}$	-3.2455	-2.10
$γ_{5}$	2.2888	1.78
$γ_{6}$	-0.4248	-0.49
$γ_{7}$	-0.1960	-0.19
$γ_{8}$	0.1316	0.11
$γ_{9}$	-0.0993	-0.11

Estimation Period:
Mar 25, 2015 to Apr 18, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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