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, February 3rd, 2023:25.92% (-0.27%)

Analysis last updated: Friday, February 3, 2023, 05:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1572	4.70
$α$	0.1344	11.83
$β$	0.8205	63.16
$γ_{1}$	0.0086	0.13
$γ_{2}$	0.0215	0.20
$γ_{3}$	-0.0594	-0.78
$γ_{4}$	0.0112	0.19
$γ_{5}$	0.1116	2.19
$γ_{6}$	-0.2041	-3.50
$γ_{7}$	0.1739	2.95
$γ_{8}$	-0.1056	-1.92
$γ_{9}$	0.1586	3.13
$γ_{10}$	-0.2053	-5.52

Estimation Period:
Jan 1, 1990 to Nov 25, 2022

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