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

V-Lab

| |

V-Lab

SAMIR Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 20th, 2018:35.18% (0.00%)

Analysis last updated: Saturday, July 23, 2022 at 04:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7350	5.08
$α$	0.2379	5.87
$β$	0.5685	9.27
$γ_{1}$	-0.4234	-1.29
$γ_{2}$	0.8061	1.47
$γ_{3}$	-0.6500	-2.03
$γ_{4}$	0.3812	2.21
$γ_{5}$	-0.1916	-1.35
$γ_{6}$	0.1780	1.37
$γ_{7}$	-0.1298	-1.01
$γ_{8}$	0.0028	0.03

Estimation Period:
Mar 22, 1996 to Aug 5, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts