V-Lab: Rosgosstrakh PJSC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Rosgosstrakh PJSC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:0.00% (0.00%)

Analysis last updated: Saturday, May 18, 2024 at 10:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	27.3264	273264200.00
$α$	0.2716	2715940.00
$β$	0.7193	7193330.00
$γ_{1}$	95.3022	953021800.00
$γ_{2}$	-109.1119	-1091119000.00
$γ_{3}$	34.8167	348167100.00
$γ_{4}$	-23.2455	-232454600.00
$γ_{5}$	-48.0170	-480170500.00
$γ_{6}$	108.8672	1088672000.00
$γ_{7}$	-536.9556	-5369556000.00
$γ_{8}$	924.5489	9245489000.00

Estimation Period:
Nov 25, 2013 to May 17, 2024

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Volatility Forecasts

Volatility Forecasts