V-Lab: MSCI Chile Spline-GARCH Volatility Analysis

V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:20.40% (-1.07%)

Analysis last updated: Saturday, May 10, 2025 at 03:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1660	5.46
$α$	0.1274	12.13
$β$	0.8334	71.21
$γ_{1}$	0.0218	1.39
$γ_{2}$	-0.0362	-1.62
$γ_{3}$	0.0349	2.55
$γ_{4}$	-0.0501	-3.94
$γ_{5}$	0.0837	4.91
$γ_{6}$	-0.1138	-3.49

Estimation Period:
Jan 1, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts