V-Lab: Shinsung ENG Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shinsung ENG Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 14th, 2016:57.17% (-2.01%)

Analysis last updated: Tuesday, December 13, 2016 at 08:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1463	3.43
$α$	0.0943	4.16
$β$	0.8517	24.44
$γ_{1}$	0.1287	0.86
$γ_{2}$	-0.1334	-0.63
$γ_{3}$	-0.0161	-0.16

Estimation Period:
Sep 1, 2008 to Dec 9, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts