V-Lab: ORAPI Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ORAPI Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:38.74% (-4.55%)

Analysis last updated: Saturday, May 4, 2024 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8002	5.16
$α$	0.1843	4.42
$β$	0.7060	9.89
$γ_{1}$	-0.0405	-0.55
$γ_{2}$	-0.0004	-0.00
$γ_{3}$	0.1142	1.42
$γ_{4}$	-0.0201	-0.25
$γ_{5}$	-0.1518	-1.82
$γ_{6}$	0.2691	2.92
$γ_{7}$	-0.3678	-3.46
$γ_{8}$	0.2725	3.11

Estimation Period:
Mar 29, 2000 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts