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

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V-Lab

MonAmi Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.52% (-1.02%)

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
$ω$	1.3738	3.86
$α$	0.1085	10.90
$β$	0.8889	86.13
$γ_{1}$	-0.0586	-0.38
$γ_{2}$	0.0879	0.39
$γ_{3}$	-0.0926	-0.67
$γ_{4}$	0.0681	0.53
$γ_{5}$	0.0710	0.46
$γ_{6}$	-0.2419	-1.39
$γ_{7}$	-0.0713	-0.28
$γ_{8}$	1.1405	2.02
$γ_{9}$	-1.6244	-2.48
$γ_{10}$	0.8886	2.61

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

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