V-Lab: MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 15th, 2024:26.44% (-1.11%)

Analysis last updated: Friday, November 15, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1789	5.27
$α$	0.1277	12.13
$β$	0.8356	72.64
$γ_{1}$	0.0215	1.30
$γ_{2}$	-0.0359	-1.52
$γ_{3}$	0.0348	2.44
$γ_{4}$	-0.0480	-3.81
$γ_{5}$	0.0717	5.55
$γ_{6}$	-0.0718	-7.46

Estimation Period:
Jan 1, 1990 to Oct 31, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts