V-Lab: MSCI Chile Spline-GARCH Volatility Analysis

V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:56.48% (+28.22%)

Analysis last updated: Tuesday, November 23, 2021, 07:58 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.1736	5.51
$α$	0.1242	11.85
$β$	0.8415	71.22
$γ_{1}$	-0.0006	-0.07
$γ_{2}$	0.0065	0.58
$γ_{3}$	-0.0156	-1.95
$γ_{4}$	0.0436	3.91

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
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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