V-Lab: Light SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Light SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:44.62% (-0.35%)

Analysis last updated: Saturday, May 4, 2024 at 07:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.3731	4.63
$α$	0.1110	7.18
$β$	0.7771	26.64
$γ_{1}$	-0.0017	-0.03
$γ_{2}$	0.1380	1.52
$γ_{3}$	-0.1718	-2.99
$γ_{4}$	0.0074	0.10
$γ_{5}$	0.0151	0.20
$γ_{6}$	0.0149	0.23
$γ_{7}$	0.1120	1.75
$γ_{8}$	-0.2519	-3.75
$γ_{9}$	0.2322	4.14
$γ_{10}$	-0.1334	-3.47

Estimation Period:
Dec 20, 1991 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts