V-Lab: Pang Rim Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pang Rim Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:49.94% (-0.17%)

Analysis last updated: Saturday, April 20, 2024 at 12:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8871	6.83
$α$	0.1733	7.12
$β$	0.7614	22.78
$γ_{1}$	-0.0011	-0.03
$γ_{2}$	0.0466	0.83
$γ_{3}$	-0.1352	-3.04
$γ_{4}$	0.1363	2.93
$γ_{5}$	-0.0902	-1.87
$γ_{6}$	0.0805	1.57
$γ_{7}$	-0.0562	-1.05
$γ_{8}$	0.1202	2.06
$γ_{9}$	-0.1817	-3.41

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts