V-Lab: Meritz Securities Co Ltd EGARCH Volatility Analysis

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V-Lab

Meritz Securities Co Ltd EGARCH Volatility Analysis

Volatility Prediction for Thursday, April 27th, 2023:12.95% (-0.69%)

Analysis last updated: Thursday, April 27, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0664	22.94
$α$	0.2231	45.08
$β$	0.9755	829.51
$γ$	-0.0103	-2.48

Estimation Period:
Jan 15, 1992 to Apr 21, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts