V-Lab: Shanghai Stock Exchange Composite Index GARCH Volatility Analysis

V-Lab

Shanghai Stock Exchange Composite Index GARCH Volatility Analysis

Volatility Prediction for Friday, April 18th, 2025:27.70% (-1.05%)

Analysis last updated: Thursday, April 17, 2025 at 08:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0184	12.77
$α$	0.0765	25.94
$β$	0.9222	332.58

Estimation Period:
May 21, 1992 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Shanghai Stock Exchange Composite Index Analyses
GJR-GARCH
EGARCH
APARCH
AGARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH