V-Lab: MSCI Chile Spline-GARCH Volatility Analysis

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V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 2nd, 2023:28.19% (+0.39%)

Analysis last updated: Monday, October 2, 2023 at 03:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1639	6.30
$α$	0.1257	11.84
$β$	0.8441	75.24
$γ_{1}$	0.0044	1.08
$γ_{2}$	-0.0072	-1.22
$γ_{3}$	0.0205	4.54

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts