V-Lab: Woojin Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Woojin Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:34.77% (-1.34%)

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
$ω$	0.9729	5.56
$α$	0.1763	4.01
$β$	0.6337	7.54
$γ_{1}$	-0.3819	-1.03
$γ_{2}$	0.5694	1.04
$γ_{3}$	-0.4998	-1.57
$γ_{4}$	0.8576	3.08
$γ_{5}$	-0.4766	-1.38
$γ_{6}$	-0.6199	-1.53
$γ_{7}$	1.1434	3.20
$γ_{8}$	-1.3008	-3.86
$γ_{9}$	1.0663	3.64

Estimation Period:
Jul 26, 2010 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts