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

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V-Lab

Daishin Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:22.84% (+0.61%)

Analysis last updated: Sunday, April 21, 2024 at 12:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8411	7.82
$α$	0.0850	8.62
$β$	0.8615	53.93
$γ_{1}$	0.0114	0.31
$γ_{2}$	0.0707	1.26
$γ_{3}$	-0.2366	-5.87
$γ_{4}$	0.2391	6.20
$γ_{5}$	-0.1283	-3.18
$γ_{6}$	0.0686	1.69
$γ_{7}$	-0.0005	-0.01
$γ_{8}$	-0.0595	-1.44
$γ_{9}$	0.0528	1.58

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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