V-Lab: MSCI Asia Pacific Spline-GARCH Volatility Analysis

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V-Lab

MSCI Asia Pacific Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 22nd, 2023:18.80% (+0.20%)

Analysis last updated: Tuesday, March 21, 2023, 02:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5397	6.48
$α$	0.0909	9.98
$β$	0.8893	90.59
$γ_{1}$	0.0104	2.78
$γ_{2}$	-0.0185	-3.38
$γ_{3}$	0.0210	3.82

Estimation Period:
Jan 1, 1990 to Mar 20, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts