V-Lab: Samsung E&A Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Samsung E&A Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:45.60% (+1.34%)

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
$ω$	0.7215	6.63
$α$	0.0724	6.56
$β$	0.8731	48.71
$γ_{1}$	-0.2393	-4.16
$γ_{2}$	0.3025	3.41
$γ_{3}$	-0.0256	-0.43
$γ_{4}$	-0.1136	-2.30
$γ_{5}$	0.1761	3.67
$γ_{6}$	-0.2000	-3.64
$γ_{7}$	0.1655	2.83
$γ_{8}$	-0.0838	-2.01

Estimation Period:
Dec 25, 1996 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts