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

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V-Lab

JS Cable Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 10th, 2014:109.74% (-20.93%)

Analysis last updated: Friday, January 29, 2016 at 03:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	2.8274	4.28
$α$	0.2123	3.48
$β$	0.5474	4.99
$γ_{1}$	10.8463	4.12
$γ_{2}$	-14.3654	-3.35
$γ_{3}$	2.3955	0.71
$γ_{4}$	2.9159	0.93
$γ_{5}$	-2.8701	-1.02
$γ_{6}$	2.3502	1.03
$γ_{7}$	-1.2193	-0.56
$γ_{8}$	-1.1644	-0.37
$γ_{9}$	4.9686	1.21
$γ_{10}$	-6.8576	-1.95

Estimation Period:
Nov 12, 2007 to Apr 9, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts