V-Lab: Shinsegae Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shinsegae Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.62% (+1.58%)

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
$ω$	2.0413	4.28
$α$	0.0905	5.38
$β$	0.8361	23.90
$γ_{1}$	0.1151	0.92
$γ_{2}$	-0.0085	-0.05
$γ_{3}$	-0.2507	-2.13
$γ_{4}$	0.1958	2.04
$γ_{5}$	0.1068	1.17
$γ_{6}$	-0.4071	-3.97
$γ_{7}$	0.4242	3.84
$γ_{8}$	-0.3072	-2.85
$γ_{9}$	0.2032	2.67

Estimation Period:
Aug 1, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts