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, December 1st, 2023:5.74% (-0.11%)

Analysis last updated: Friday, December 1, 2023 at 05:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5122	10.43
$α$	0.0555	3.33
$β$	0.8755	15.67
$γ_{1}$	0.0999	5.05
$γ_{2}$	-0.1328	-4.19
$γ_{3}$	0.0390	2.00

Estimation Period:
Feb 15, 2010 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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