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 Wednesday, April 16th, 2025:38.29% (-3.84%)

Analysis last updated: Wednesday, April 16, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7824	2.97
$α$	0.1682	11.04
$β$	0.8196	60.82
$γ_{1}$	-0.0158	-2.83
$γ_{2}$	0.0238	2.42

Estimation Period:
Oct 19, 1998 to Apr 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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