V-Lab: Meritz Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Meritz Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 27th, 2023:27.38% (-0.04%)

Analysis last updated: Thursday, April 27, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9709	6.68
$α$	0.1331	7.74
$β$	0.7822	33.69
$γ_{1}$	0.1539	3.12
$γ_{2}$	-0.1868	-2.66
$γ_{3}$	-0.1088	-2.42
$γ_{4}$	0.3398	7.28
$γ_{5}$	-0.4033	-7.92
$γ_{6}$	0.3925	8.25
$γ_{7}$	-0.2933	-6.64
$γ_{8}$	0.1575	3.80
$γ_{9}$	-0.0708	-2.22

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts