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

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V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:34.76% (+0.89%)

Analysis last updated: Saturday, June 3, 2023 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1419	4.82
$α$	0.1326	11.72
$β$	0.8206	62.59
$γ_{1}$	0.0105	0.17
$γ_{2}$	0.0185	0.19
$γ_{3}$	-0.0604	-0.83
$γ_{4}$	0.0195	0.34
$γ_{5}$	0.0995	2.08
$γ_{6}$	-0.2000	-3.72
$γ_{7}$	0.1801	3.23
$γ_{8}$	-0.1040	-1.98
$γ_{9}$	0.1402	2.85
$γ_{10}$	-0.1873	-5.34

Estimation Period:
Jan 1, 1990 to May 5, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts