V-Lab: OMX Stockholm 30 Index GJR-GARCH Volatility Analysis

V-Lab

OMX Stockholm 30 Index GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 16th, 2022:16.58% (-0.65%)

Analysis last updated: Monday, August 15, 2022, 03:32 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0303	20.65
$α$	0.0242	9.47
$β$	0.9000	458.69
$γ$	0.1246	22.39

Estimation Period:
Jan 2, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

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