V-Lab: MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:25.73% (-1.29%)

Analysis last updated: Friday, May 10, 2024 at 08:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1947	5.29
$α$	0.1278	12.15
$β$	0.8356	72.22
$γ_{1}$	0.0253	1.47
$γ_{2}$	-0.0436	-1.78
$γ_{3}$	0.0444	2.98
$γ_{4}$	-0.0618	-4.50
$γ_{5}$	0.0876	6.00
$γ_{6}$	-0.0828	-7.36

Estimation Period:
Jan 1, 1990 to Mar 28, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts