V-Lab: e-Corea Real Estate Investment Trusts Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

e-Corea Real Estate Investment Trusts Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 16th, 2015:393.07% (+111.22%)

Analysis last updated: Friday, January 29, 2016 at 03:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4383	4.22
$α$	0.3019	4.79
$β$	0.2756	2.29
$γ_{1}$	2.7618	1.12
$γ_{2}$	-5.5931	-1.44
$γ_{3}$	4.0335	1.26
$γ_{4}$	-0.8856	-0.29
$γ_{5}$	3.0481	1.03
$γ_{6}$	-6.2037	-2.39

Estimation Period:
Mar 10, 2011 to Sep 11, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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