V-Lab: Byucksan Engineering & Construction Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Byucksan Engineering & Construction Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2014:1006.87% (-106.11%)

Analysis last updated: Friday, January 29, 2016 at 03:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3940	5.94
$α$	0.1595	8.83
$β$	0.7297	22.82
$γ_{1}$	-0.0568	-0.56
$γ_{2}$	-0.0006	-0.00
$γ_{3}$	0.2923	2.90
$γ_{4}$	-0.4804	-4.04
$γ_{5}$	0.2228	1.61
$γ_{6}$	0.0984	0.69
$γ_{7}$	-0.0607	-0.45
$γ_{8}$	-0.0544	-0.37
$γ_{9}$	0.0800	0.38
$γ_{10}$	0.7203	1.36

Estimation Period:
Jan 3, 1990 to Apr 24, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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