V-Lab: Tadawul All Share TASI Index Spline-GARCH Volatility Analysis

V-Lab

Tadawul All Share TASI Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 15th, 2025:11.14% (-0.64%)

Analysis last updated: Monday, September 15, 2025 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7768	3.22
$α$	0.1692	11.06
$β$	0.8169	61.02
$γ_{1}$	-0.0142	-2.70
$γ_{2}$	0.0209	2.25

Estimation Period:
Oct 19, 1998 to Sep 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Tadawul All Share TASI Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH