V-Lab: S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:12.13% (-0.37%)

Analysis last updated: Wednesday, May 15, 2024 at 07:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8438	7.74
$α$	0.0905	7.88
$β$	0.8679	60.54
$γ_{1}$	-0.0052	-0.12
$γ_{2}$	0.0081	0.12
$γ_{3}$	-0.0637	-1.17
$γ_{4}$	0.2147	4.43
$γ_{5}$	-0.3154	-6.90
$γ_{6}$	0.2359	5.08
$γ_{7}$	-0.1028	-2.17
$γ_{8}$	0.0608	1.35
$γ_{9}$	-0.0487	-1.62

Estimation Period:
May 29, 1992 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts