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

V-Lab

|

V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:23.56% (-0.68%)

Analysis last updated: Friday, December 1, 2023 at 05:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2200	5.27
$α$	0.1273	12.17
$β$	0.8372	72.83
$γ_{1}$	0.0281	1.58
$γ_{2}$	-0.0490	-1.92
$γ_{3}$	0.0506	3.24
$γ_{4}$	-0.0700	-4.70
$γ_{5}$	0.0956	5.90
$γ_{6}$	-0.0871	-6.85

Estimation Period:
Jan 1, 1990 to Oct 26, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts