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 Friday, April 19th, 2024:26.61% (-0.95%)

Analysis last updated: Saturday, April 20, 2024 at 12:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5624	4.45
$α$	0.1082	11.06
$β$	0.8897	87.93
$γ_{1}$	-0.0531	-0.32
$γ_{2}$	0.0839	0.35
$γ_{3}$	-0.0961	-0.67
$γ_{4}$	0.0716	0.54
$γ_{5}$	0.0677	0.43
$γ_{6}$	-0.2374	-1.35
$γ_{7}$	-0.0986	-0.38
$γ_{8}$	1.2148	2.07
$γ_{9}$	-1.7169	-2.52
$γ_{10}$	0.9476	2.67

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

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Volatility Forecasts