V-Lab: Dongbuka No 10 Ship Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Dongbuka No 10 Ship Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 29th, 2017:37.58% (-0.02%)

Analysis last updated: Friday, May 26, 2017 at 07:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1512	3.88
$α$	0.4388	3.74
$β$	0.3654	4.20
$γ_{1}$	5.1592	3.33
$γ_{2}$	-8.3164	-3.25
$γ_{3}$	4.1129	2.07
$γ_{4}$	-2.0475	-1.03
$γ_{5}$	2.7932	1.39
$γ_{6}$	-2.8320	-1.46
$γ_{7}$	1.4169	0.59
$γ_{8}$	0.5470	0.18
$γ_{9}$	-1.5714	-0.64

Estimation Period:
Aug 31, 2005 to May 26, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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