V-Lab: Dongbu Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Dongbu Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:23.23% (+0.03%)

Analysis last updated: Sunday, April 21, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7211	6.13
$α$	0.1494	8.18
$β$	0.7747	31.08
$γ_{1}$	-0.0391	-0.98
$γ_{2}$	0.1252	2.20
$γ_{3}$	-0.2494	-6.49
$γ_{4}$	0.3171	7.91
$γ_{5}$	-0.2912	-6.78
$γ_{6}$	0.2901	6.19
$γ_{7}$	-0.2823	-5.24
$γ_{8}$	0.1611	3.33
$γ_{9}$	-0.0121	-0.35

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts