V-Lab: Prevas AB Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Prevas AB Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:33.71% (-0.04%)

Analysis last updated: Tuesday, May 7, 2024 at 08:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0649	7.56
$α$	0.1877	6.44
$β$	0.5425	10.43
$γ_{1}$	0.0011	0.01
$γ_{2}$	-0.1624	-1.22
$γ_{3}$	0.3594	4.11
$γ_{4}$	-0.3546	-4.18
$γ_{5}$	0.2784	2.84
$γ_{6}$	-0.1875	-2.03
$γ_{7}$	0.1360	1.58
$γ_{8}$	-0.1521	-1.72
$γ_{9}$	0.1150	1.83

Estimation Period:
Jun 1, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts