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

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V-Lab

SK Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:18.32% (-0.45%)

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
$ω$	0.9104	6.86
$α$	0.1617	7.08
$β$	0.7643	23.73
$γ_{1}$	-0.0061	-0.12
$γ_{2}$	0.1152	1.48
$γ_{3}$	-0.2352	-4.01
$γ_{4}$	0.1471	2.57
$γ_{5}$	0.0152	0.24
$γ_{6}$	-0.1173	-1.66
$γ_{7}$	0.1542	1.92
$γ_{8}$	-0.0597	-0.57
$γ_{9}$	-0.0852	-0.72
$γ_{10}$	0.1179	1.46

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

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