V-Lab: Samsung C&T Corp/Old Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Samsung C&T Corp/Old Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, August 27th, 2015:47.74% (+3.05%)

Analysis last updated: Friday, January 29, 2016 at 02:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6453	7.08
$α$	0.0837	8.20
$β$	0.8556	46.51
$γ_{1}$	0.0388	1.32
$γ_{2}$	-0.0378	-0.89
$γ_{3}$	-0.0739	-2.57
$γ_{4}$	0.1270	4.15
$γ_{5}$	-0.0782	-2.46
$γ_{6}$	0.0383	1.47

Estimation Period:
Jan 3, 1990 to Aug 21, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts