V-Lab: JPMorgan Emerging Markets Investment Trust plc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

JPMorgan Emerging Markets Investment Trust plc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:14.38% (-0.63%)

Analysis last updated: Sunday, November 10, 2024 at 04:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9942	3.08
$α$	0.1312	9.38
$β$	0.8116	38.59
$γ_{1}$	0.0546	0.65
$γ_{2}$	-0.0460	-0.39
$γ_{3}$	-0.0925	-1.68
$γ_{4}$	0.2405	4.98
$γ_{5}$	-0.3052	-5.42
$γ_{6}$	0.1967	3.96
$γ_{7}$	-0.0298	-0.70
$γ_{8}$	-0.0312	-0.80
$γ_{9}$	0.0140	0.52

Estimation Period:
Jul 8, 1991 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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