V-Lab: Sarajevo Stock Exchange Index 30 Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sarajevo Stock Exchange Index 30 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 25th, 2024:4.94% (-0.06%)

Analysis last updated: Friday, October 25, 2024 at 03:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5142	10.77
$α$	0.0573	3.44
$β$	0.8628	14.62
$γ_{1}$	0.0942	5.54
$γ_{2}$	-0.1280	-4.71
$γ_{3}$	0.0415	2.47

Estimation Period:
Feb 15, 2010 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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