V-Lab: SAMIR Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SAMIR Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 20th, 2018:4.05% (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
$ω$	0.7253	5.02
$α$	0.2383	6.00
$β$	0.5659	9.28
$γ_{1}$	-0.4323	-1.32
$γ_{2}$	0.8211	1.51
$γ_{3}$	-0.6630	-2.08
$γ_{4}$	0.3974	2.31
$γ_{5}$	-0.2158	-1.52
$γ_{6}$	0.2228	1.68
$γ_{7}$	-0.2244	-1.61
$γ_{8}$	0.2404	1.32

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts