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

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V-Lab

Hanssem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:36.81% (-1.72%)

Analysis last updated: Wednesday, April 17, 2024 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9659	7.18
$α$	0.1089	3.75
$β$	0.5275	5.04
$γ_{1}$	0.1611	1.90
$γ_{2}$	-0.1147	-0.90
$γ_{3}$	-0.1035	-1.22
$γ_{4}$	0.1441	1.90
$γ_{5}$	-0.1868	-2.50
$γ_{6}$	0.1863	2.62
$γ_{7}$	-0.1750	-2.82
$γ_{8}$	0.1316	2.68

Estimation Period:
Jul 23, 2002 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts