V-Lab: Korea Electric Power Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Korea Electric Power Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:41.12% (-1.79%)

Analysis last updated: Sunday, April 21, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9087	5.87
$α$	0.0864	9.64
$β$	0.8730	65.91
$γ_{1}$	-0.0421	-0.92
$γ_{2}$	0.1450	2.18
$γ_{3}$	-0.2540	-5.54
$γ_{4}$	0.2268	4.93
$γ_{5}$	-0.0783	-1.79
$γ_{6}$	0.0155	0.39
$γ_{7}$	-0.0424	-0.94
$γ_{8}$	0.0620	1.31
$γ_{9}$	-0.0491	-1.53

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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