V-Lab: Prevas AB Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Prevas AB Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:32.61% (-0.03%)

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
$ω$	1.0665	7.57
$α$	0.1888	6.43
$β$	0.5379	10.23
$γ_{1}$	0.0060	0.07
$γ_{2}$	-0.1736	-1.30
$γ_{3}$	0.3735	4.28
$γ_{4}$	-0.3695	-4.37
$γ_{5}$	0.2913	2.97
$γ_{6}$	-0.1965	-2.11
$γ_{7}$	0.1391	1.53
$γ_{8}$	-0.1453	-1.33
$γ_{9}$	0.0865	0.49

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts