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

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V-Lab

CJ Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:44.94% (+0.34%)

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
$ω$	0.7833	5.95
$α$	0.0791	6.95
$β$	0.8814	43.88
$γ_{1}$	-0.0027	-0.06
$γ_{2}$	0.0793	1.14
$γ_{3}$	-0.2202	-4.10
$γ_{4}$	0.2411	4.56
$γ_{5}$	-0.1427	-2.72
$γ_{6}$	0.0789	1.69
$γ_{7}$	-0.0696	-1.57
$γ_{8}$	0.0680	1.61
$γ_{9}$	-0.0422	-1.36

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

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Volatility Forecasts

Volatility Forecasts