V-Lab: Bookook Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bookook Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:21.96% (-0.22%)

Analysis last updated: Thursday, April 18, 2024 at 10:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1513	7.24
$α$	0.1655	9.16
$β$	0.7447	28.52
$γ_{1}$	0.0258	0.69
$γ_{2}$	0.0388	0.65
$γ_{3}$	-0.2067	-4.37
$γ_{4}$	0.2429	5.01
$γ_{5}$	-0.1596	-3.26
$γ_{6}$	0.0788	1.65
$γ_{7}$	-0.0121	-0.25
$γ_{8}$	-0.0015	-0.03
$γ_{9}$	-0.0068	-0.20

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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