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

V-Lab

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V-Lab

Bookook Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:21.88% (-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
$ω$	1.1306	7.18
$α$	0.1657	9.12
$β$	0.7435	28.19
$γ_{1}$	0.0158	0.42
$γ_{2}$	0.0570	0.96
$γ_{3}$	-0.2231	-4.73
$γ_{4}$	0.2588	5.34
$γ_{5}$	-0.1734	-3.55
$γ_{6}$	0.0895	1.87
$γ_{7}$	-0.0196	-0.40
$γ_{8}$	0.0040	0.07
$γ_{9}$	-0.0131	-0.15

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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