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

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V-Lab

JPMorgan Emerging Markets Investment Trust plc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:11.92% (-0.74%)

Analysis last updated: Sunday, November 10, 2024 at 04:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9633	3.11
$α$	0.1301	9.20
$β$	0.8080	36.89
$γ_{1}$	0.0519	0.62
$γ_{2}$	-0.0409	-0.36
$γ_{3}$	-0.1000	-1.86
$γ_{4}$	0.2526	5.35
$γ_{5}$	-0.3210	-5.84
$γ_{6}$	0.2174	4.50
$γ_{7}$	-0.0621	-1.47
$γ_{8}$	0.0323	0.72
$γ_{9}$	-0.1447	-2.07

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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