V-Lab: Woori Investment Bank Co Ltd/Gwangju Korea Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Woori Investment Bank Co Ltd/Gwangju Korea Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 29th, 2023:15.98% (-0.05%)

Analysis last updated: Tuesday, August 29, 2023 at 08:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9078	7.49
$α$	0.1962	7.84
$β$	0.7443	25.04
$γ_{1}$	0.0509	4.36
$γ_{2}$	-0.1106	-5.85
$γ_{3}$	0.1055	7.08
$γ_{4}$	-0.0818	-6.19
$γ_{5}$	0.0549	6.05

Estimation Period:
Jan 3, 1990 to Aug 25, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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