V-Lab: KCTC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

KCTC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:27.09% (-0.94%)

Analysis last updated: Friday, April 19, 2024 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6421	4.79
$α$	0.1972	9.06
$β$	0.7412	31.72
$γ_{1}$	-0.0415	-0.75
$γ_{2}$	0.1106	1.33
$γ_{3}$	-0.2001	-3.09
$γ_{4}$	0.2426	3.78
$γ_{5}$	-0.1905	-3.15
$γ_{6}$	0.1006	1.68
$γ_{7}$	0.0032	0.05
$γ_{8}$	-0.0462	-0.69
$γ_{9}$	0.0299	0.74

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

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