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

V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:53.95% (+29.20%)

Analysis last updated: Tuesday, November 23, 2021, 07:59 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.1492	9.40
$α$	0.1194	11.83
$β$	0.8576	79.45
$γ_{1}$	0.0002	1.28

Estimation Period:
Jan 1, 1990 to Nov 19, 2021

News Impact Curve

Volatility Forecasts

Other MSCI Chile Analyses
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GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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