V-Lab: Samwhan Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Samwhan Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 15th, 2015:250.29% (+4.56%)

Analysis last updated: Friday, January 29, 2016 at 03:54 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6546	4.51
$α$	0.1268	6.71
$β$	0.7947	24.91
$γ_{1}$	0.0019	0.02
$γ_{2}$	-0.0138	-0.08
$γ_{3}$	0.1264	1.40
$γ_{4}$	-0.2679	-2.76
$γ_{5}$	0.0489	0.40
$γ_{6}$	0.3065	2.29
$γ_{7}$	-0.2489	-2.04
$γ_{8}$	-0.0279	-0.19
$γ_{9}$	0.3189	1.96
$γ_{10}$	-0.4259	-3.80

Estimation Period:
Jan 3, 1990 to Apr 10, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts