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

V-Lab

| |

V-Lab

Shinsegae Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:29.37% (-1.00%)

Analysis last updated: Thursday, April 18, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7426	6.53
$α$	0.0703	8.73
$β$	0.8801	60.87
$γ_{1}$	0.0270	0.89
$γ_{2}$	-0.0130	-0.30
$γ_{3}$	-0.0957	-3.54
$γ_{4}$	0.1447	5.78
$γ_{5}$	-0.0894	-3.53
$γ_{6}$	0.0649	2.41
$γ_{7}$	-0.0862	-3.21
$γ_{8}$	0.0699	3.52

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts