V-Lab: MSCI Chile Spline-GARCH Volatility Analysis

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V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 21st, 2023:36.98% (-0.80%)

Analysis last updated: Tuesday, March 21, 2023, 02:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1131	5.58
$α$	0.1294	11.74
$β$	0.8357	70.71
$γ_{1}$	0.0008	0.12
$γ_{2}$	0.0030	0.30
$γ_{3}$	-0.0100	-1.48
$γ_{4}$	0.0429	4.65

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts