V-Lab: Taiwan Stock Exchange Weighted Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Taiwan Stock Exchange Weighted Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 13th, 2024:16.78% (+3.19%)

Analysis last updated: Tuesday, November 12, 2024 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6158	10.18
$α$	0.0783	9.06
$β$	0.9046	95.50
$γ_{1}$	0.0011	6.60

Estimation Period:
Jan 1, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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