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

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V-Lab

Caracas Stock Exchange Stock Market Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 26th, 2024:52.14% (+1.82%)

Analysis last updated: Friday, July 26, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5611	2.25
$α$	0.3756	5.53
$β$	0.3746	3.50
$γ_{1}$	-3.2134	-2.76
$γ_{2}$	2.9262	1.50
$γ_{3}$	1.7254	1.11
$γ_{4}$	-3.1920	-2.15
$γ_{5}$	2.7084	1.95
$γ_{6}$	-1.2363	-1.26
$γ_{7}$	0.7181	0.83
$γ_{8}$	-0.8949	-0.80
$γ_{9}$	2.3498	1.59

Estimation Period:
Mar 25, 2015 to Jul 23, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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