V-Lab: Hanjin Shipping Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Hanjin Shipping Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 7th, 2017:813.53% (+335.55%)

Analysis last updated: Monday, March 6, 2017 at 07:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8100	4.74
$α$	0.1518	2.73
$β$	0.6562	8.90
$γ_{1}$	1.6093	2.82
$γ_{2}$	-2.7801	-3.17
$γ_{3}$	1.7318	2.86
$γ_{4}$	-0.9323	-1.38
$γ_{5}$	1.5831	2.01
$γ_{6}$	-2.1109	-3.73

Estimation Period:
Dec 29, 2009 to Mar 3, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts