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

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V-Lab

Samick THK Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:45.17% (+8.92%)

Analysis last updated: Saturday, April 20, 2024 at 12:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7796	6.42
$α$	0.1234	7.39
$β$	0.7950	32.66
$γ_{1}$	-0.0153	-0.40
$γ_{2}$	0.0389	0.69
$γ_{3}$	-0.0886	-2.12
$γ_{4}$	0.0736	1.58
$γ_{5}$	0.0508	0.95
$γ_{6}$	-0.1382	-2.33
$γ_{7}$	0.1849	3.51
$γ_{8}$	-0.2150	-5.67
$γ_{9}$	0.1569	5.81

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts