V-Lab: NH Investment & Securities Co Ltd/Old Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

NH Investment & Securities Co Ltd/Old Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 22nd, 2014:24.56% (-1.38%)

Analysis last updated: Friday, January 29, 2016 at 02:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9131	6.47
$α$	0.1216	7.76
$β$	0.8335	44.55
$γ_{1}$	0.0530	1.55
$γ_{2}$	-0.0233	-0.44
$γ_{3}$	-0.1132	-2.57
$γ_{4}$	0.1380	2.74
$γ_{5}$	-0.1297	-2.85
$γ_{6}$	0.1352	4.73

Estimation Period:
Jan 3, 1990 to Dec 19, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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