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

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V-Lab

Sungshin Cement Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.26% (-0.29%)

Analysis last updated: Sunday, April 21, 2024 at 12:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6309	5.56
$α$	0.1033	9.78
$β$	0.8611	63.40
$γ_{1}$	-0.0505	-0.96
$γ_{2}$	0.1338	1.69
$γ_{3}$	-0.2314	-4.31
$γ_{4}$	0.2492	4.50
$γ_{5}$	-0.1173	-1.95
$γ_{6}$	-0.0002	-0.00
$γ_{7}$	0.0396	0.66
$γ_{8}$	-0.0741	-1.24
$γ_{9}$	0.0864	2.22

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts