V-Lab: Nairobi Securities Exchange Ltd All Share Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nairobi Securities Exchange Ltd All Share Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:15.40% (+6.73%)

Analysis last updated: Friday, May 3, 2024 at 06:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5471	3.58
$α$	0.2929	11.17
$β$	0.5874	21.10
$γ_{1}$	-0.1011	-1.62
$γ_{2}$	0.1579	1.82
$γ_{3}$	-0.1144	-2.45
$γ_{4}$	0.0813	2.21
$γ_{5}$	-0.0456	-1.24
$γ_{6}$	0.0665	1.98
$γ_{7}$	-0.0845	-3.03
$γ_{8}$	0.0552	2.79

Estimation Period:
Jan 17, 1990 to Mar 28, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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