V-Lab: Sims Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Sims Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:28.77% (-1.16%)

Analysis last updated: Thursday, May 16, 2024 at 07:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6300	6.13
$α$	0.1186	5.72
$β$	0.6171	10.58
$γ_{1}$	-0.1024	-1.71
$γ_{2}$	0.2048	2.32
$γ_{3}$	-0.2106	-3.92
$γ_{4}$	0.2034	5.10
$γ_{5}$	-0.1083	-3.26
$γ_{6}$	-0.0730	-1.78
$γ_{7}$	0.1770	3.34
$γ_{8}$	-0.1323	-2.13
$γ_{9}$	0.0406	0.59
$γ_{10}$	-0.0249	-0.27

Estimation Period:
Nov 25, 1991 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts