V-Lab: Kyungbang Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Kyungbang Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.49% (+2.61%)

Analysis last updated: Sunday, April 21, 2024 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1386	2.32
$α$	0.0619	3.78
$β$	0.9147	42.27
$γ_{1}$	-0.0692	-3.14
$γ_{2}$	0.0748	2.39
$γ_{3}$	-0.0099	-0.67
$γ_{4}$	0.0099	1.34

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

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Volatility Forecasts