V-Lab: Lotte Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Lotte Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 22nd, 2022:17.03% (-0.02%)

Analysis last updated: Saturday, July 23, 2022 at 03:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8826	7.38
$α$	0.1244	9.39
$β$	0.7855	34.79
$γ_{1}$	-0.0121	-0.37
$γ_{2}$	0.0505	1.08
$γ_{3}$	-0.1229	-3.75
$γ_{4}$	0.1455	4.23
$γ_{5}$	-0.0925	-2.69
$γ_{6}$	0.0618	1.93
$γ_{7}$	-0.0623	-2.12
$γ_{8}$	0.0517	2.27

Estimation Period:
Jan 3, 1990 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts