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

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V-Lab

Kyobo Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:18.35% (-0.79%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7364	5.32
$α$	0.0934	7.16
$β$	0.8655	49.70
$γ_{1}$	-0.0381	-0.62
$γ_{2}$	0.1676	1.84
$γ_{3}$	-0.3137	-4.77
$γ_{4}$	0.3560	5.23
$γ_{5}$	-0.2832	-3.91
$γ_{6}$	0.1469	2.06
$γ_{7}$	-0.0234	-0.47

Estimation Period:
Dec 13, 1999 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts