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

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V-Lab

YuHwa Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:13.22% (+0.09%)

Analysis last updated: Wednesday, April 17, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1551	7.61
$α$	0.1837	6.41
$β$	0.6952	17.70
$γ_{1}$	0.0125	0.35
$γ_{2}$	0.0589	1.03
$γ_{3}$	-0.2295	-4.48
$γ_{4}$	0.2763	4.54
$γ_{5}$	-0.1580	-2.72
$γ_{6}$	-0.0053	-0.10
$γ_{7}$	0.1054	2.28
$γ_{8}$	-0.0477	-1.40
$γ_{9}$	-0.0287	-1.25

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts