V-Lab: Sam Yung Trading Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Sam Yung Trading Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:15.54% (-0.70%)

Analysis last updated: Sunday, April 21, 2024 at 12:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9365	8.36
$α$	0.0924	7.79
$β$	0.8451	39.64
$γ_{1}$	-0.0021	-0.06
$γ_{2}$	0.0239	0.41
$γ_{3}$	-0.1194	-2.20
$γ_{4}$	0.2057	3.24
$γ_{5}$	-0.2003	-3.42
$γ_{6}$	0.1864	4.07
$γ_{7}$	-0.1757	-4.57
$γ_{8}$	0.0920	2.38
$γ_{9}$	0.0176	0.62

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts