V-Lab: Daelim B&Co Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Daelim B&Co Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:23.28% (-0.67%)

Analysis last updated: Tuesday, May 7, 2024 at 10:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8243	6.58
$α$	0.1369	10.30
$β$	0.8053	46.16
$γ_{1}$	0.1028	1.97
$γ_{2}$	-0.2107	-2.43
$γ_{3}$	0.0905	1.26
$γ_{4}$	0.0673	0.88
$γ_{5}$	-0.0570	-0.68
$γ_{6}$	0.0610	0.84
$γ_{7}$	-0.1680	-2.75
$γ_{8}$	0.1874	3.24
$γ_{9}$	-0.0823	-1.91

Estimation Period:
Dec 23, 1992 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts