V-Lab: Sangsangin Investment & Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sangsangin Investment & Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 15th, 2024:17.50% (-0.90%)

Analysis last updated: Saturday, April 13, 2024 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8259	6.64
$α$	0.2050	7.01
$β$	0.6926	19.80
$γ_{1}$	-0.0080	-0.20
$γ_{2}$	0.1212	1.97
$γ_{3}$	-0.3095	-6.86
$γ_{4}$	0.3585	7.84
$γ_{5}$	-0.2652	-5.46
$γ_{6}$	0.1356	2.66
$γ_{7}$	0.0359	0.54
$γ_{8}$	-0.2300	-2.50
$γ_{9}$	0.2611	3.41

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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