V-Lab: Dongbuka No 13 Ship Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Dongbuka No 13 Ship Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 28th, 2020:4233.78% (+4221.18%)

Analysis last updated: Monday, April 27, 2020 at 06:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3223	3.87
$α$	0.2711	6.21
$β$	0.6374	15.19
$γ_{1}$	0.8999	2.74
$γ_{2}$	-1.8103	-3.24
$γ_{3}$	1.3653	2.39
$γ_{4}$	-0.3450	-0.69
$γ_{5}$	-0.0113	-0.02
$γ_{6}$	-1.2526	-1.58
$γ_{7}$	2.0700	3.25

Estimation Period:
Aug 29, 2005 to Mar 27, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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GJR-GARCH
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MEM
Asy. MEM
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GAS-GARCH Student T
MF2-GARCH