V-Lab
V-Lab

KCTC Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Wednesday, March 27th, 2024:25.44% (-0.49%)

Analysis last updated: Thursday, March 28, 2024 at 12:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of KCTC S0GARCH
paramt-stat
ω0.64264.80
α0.19719.03
β0.741231.64
γ1-0.0418-0.75
γ20.11231.34
γ3-0.2031-3.11
γ40.24523.80
γ5-0.1919-3.16
γ60.10141.68
γ70.00010.00
γ8-0.0392-0.59
γ90.02310.58
Estimation Period:
Jan 3, 1990 to Mar 22, 2024
Impact of return on volatility tomorrow
Volatility Forecasts