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

V-Lab

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V-Lab

Shinsung FA Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 14th, 2016:59.32% (-3.31%)

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
$ω$	1.2378	4.39
$α$	0.1406	5.27
$β$	0.7890	20.60
$γ_{1}$	0.0896	1.81
$γ_{2}$	-0.1170	-1.90

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts