V-Lab: Hyundai GF Holdings Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Hyundai GF Holdings Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:45.28% (+0.29%)

Analysis last updated: Sunday, April 21, 2024 at 12:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6131	6.61
$α$	0.0937	8.05
$β$	0.8389	35.55
$γ_{1}$	-0.0891	-2.40
$γ_{2}$	0.1737	3.18
$γ_{3}$	-0.1837	-4.63
$γ_{4}$	0.1340	3.33
$γ_{5}$	-0.0468	-1.17
$γ_{6}$	0.0129	0.32
$γ_{7}$	0.0070	0.15
$γ_{8}$	0.0372	0.54
$γ_{9}$	-0.0845	-1.16

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts