V-Lab: Bohae Brewery Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Bohae Brewery Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:13.40% (-0.37%)

Analysis last updated: Sunday, April 21, 2024 at 12:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9763	5.45
$α$	0.1317	8.82
$β$	0.8451	52.06
$γ_{1}$	0.0042	0.49
$γ_{2}$	-0.0284	-2.17
$γ_{3}$	0.0591	5.76
$γ_{4}$	-0.1013	-4.59

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts