V-Lab: Amorepacific Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Amorepacific Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:42.83% (-0.59%)

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
$ω$	0.4686	3.39
$α$	0.0896	4.77
$β$	0.7443	13.78
$γ_{1}$	-0.7163	-3.01
$γ_{2}$	0.9576	3.07
$γ_{3}$	-0.4380	-3.04
$γ_{4}$	0.5185	4.34
$γ_{5}$	-0.6244	-5.18
$γ_{6}$	0.5431	3.77
$γ_{7}$	-0.4631	-2.93
$γ_{8}$	0.3960	2.34
$γ_{9}$	-0.3307	-1.28

Estimation Period:
Jun 29, 2006 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts