V-Lab: MSCI Chile Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 13th, 2024:27.87% (+0.93%)

Analysis last updated: Friday, September 13, 2024 at 06:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2069	5.36
$α$	0.1279	12.12
$β$	0.8354	72.22
$γ_{1}$	0.0274	1.60
$γ_{2}$	-0.0470	-1.92
$γ_{3}$	0.0466	3.09
$γ_{4}$	-0.0628	-4.25
$γ_{5}$	0.0872	4.66
$γ_{6}$	-0.0798	-3.03

Estimation Period:
Jan 1, 1990 to Mar 28, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts