V-Lab: Shenhua International Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Shenhua International Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, August 23rd, 2017:143.61% (0.00%)

Analysis last updated: Tuesday, August 22, 2017 at 07:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0663	1.58
$α$	0.0000	0.00
$β$	0.3459	0.14
$γ_{1}$	-3770.6800	-2.32
$γ_{2}$	3455.2020	1.45
$γ_{3}$	2769.2630	1.74
$γ_{4}$	-4925.3100	-2.51
$γ_{5}$	3835.8410	2.25
$γ_{6}$	-1837.6150	-1.49
$γ_{7}$	756.4737	0.79
$γ_{8}$	-934.1900	-1.33
$γ_{9}$	1225.5460	1.58
$γ_{10}$	-704.5178	-1.22

Estimation Period:
Sep 15, 2009 to Jun 2, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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