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 Friday, September 20th, 2024:17.77% (+2.18%)

Analysis last updated: Saturday, September 21, 2024 at 12:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9723	2.97
$α$	0.1311	9.37
$β$	0.8115	38.71
$γ_{1}$	0.0477	0.55
$γ_{2}$	-0.0345	-0.29
$γ_{3}$	-0.1016	-1.82
$γ_{4}$	0.2458	4.93
$γ_{5}$	-0.3019	-5.18
$γ_{6}$	0.1865	3.69
$γ_{7}$	-0.0216	-0.50
$γ_{8}$	-0.0318	-0.81
$γ_{9}$	0.0109	0.41

Estimation Period:
Jul 8, 1991 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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