V-Lab: MSCI Chile Spline-GARCH Volatility Analysis

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V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 2nd, 2022:40.32% (-1.90%)

Analysis last updated: Friday, December 2, 2022, 05:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1022	5.63
$α$	0.1301	11.71
$β$	0.8332	69.07
$γ_{1}$	-0.0000	-0.00
$γ_{2}$	0.0051	0.51
$γ_{3}$	-0.0139	-2.01
$γ_{4}$	0.0517	5.23

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

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