V-Lab: Light SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Light SA Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:38.86% (-0.53%)

Analysis last updated: Thursday, May 16, 2024 at 07:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.5313	4.86
$α$	0.1068	7.18
$β$	0.7925	29.42
$γ_{1}$	-0.0048	-0.07
$γ_{2}$	0.1509	1.68
$γ_{3}$	-0.1896	-3.23
$γ_{4}$	0.0189	0.26
$γ_{5}$	0.0118	0.16
$γ_{6}$	0.0127	0.19
$γ_{7}$	0.1178	1.80
$γ_{8}$	-0.2663	-3.83
$γ_{9}$	0.2640	3.91
$γ_{10}$	-0.2120	-2.31

Estimation Period:
Dec 20, 1991 to May 10, 2024

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Volatility Forecasts