V-Lab: GS Retail Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

GS Retail Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:24.83% (+0.88%)

Analysis last updated: Friday, April 19, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2587	4.27
$α$	0.0396	2.49
$β$	0.8918	11.57
$γ_{1}$	-0.1275	-0.28
$γ_{2}$	0.7510	1.09
$γ_{3}$	-1.5845	-3.45
$γ_{4}$	1.8933	5.30
$γ_{5}$	-1.6910	-4.61
$γ_{6}$	1.1817	2.91
$γ_{7}$	-0.5204	-1.24
$γ_{8}$	0.0917	0.19
$γ_{9}$	0.0366	0.10

Estimation Period:
Dec 23, 2011 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts