V-Lab: Keangnam Enterprises Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Keangnam Enterprises Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 15th, 2015:1096.98% (-15.80%)

Analysis last updated: Friday, January 29, 2016 at 03:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4372	3.19
$α$	0.1382	9.11
$β$	0.8596	54.96
$γ_{1}$	-0.0808	-0.46
$γ_{2}$	0.1354	0.51
$γ_{3}$	0.0413	0.19
$γ_{4}$	-0.3781	-1.75
$γ_{5}$	0.5129	3.18
$γ_{6}$	-1.6758	-1.79
$γ_{7}$	4.3382	1.63
$γ_{8}$	-4.4063	-1.66

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts