V-Lab: Samsung Publishing Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Samsung Publishing Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:40.56% (+0.91%)

Analysis last updated: Sunday, April 21, 2024 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8468	2.74
$α$	0.1264	6.03
$β$	0.8364	32.48
$γ_{1}$	0.0543	0.32
$γ_{2}$	-0.0093	-0.04
$γ_{3}$	-0.1513	-1.16
$γ_{4}$	0.2627	1.65
$γ_{5}$	-0.3668	-2.01
$γ_{6}$	0.4666	2.96
$γ_{7}$	-0.5125	-3.26
$γ_{8}$	0.3633	2.44

Estimation Period:
Aug 5, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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