V-Lab: Noroo Holdings Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Noroo Holdings Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:28.65% (-1.20%)

Analysis last updated: Wednesday, May 1, 2024 at 10:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8338	8.07
$α$	0.1174	9.08
$β$	0.8123	41.73
$γ_{1}$	-0.0158	-0.39
$γ_{2}$	0.0729	1.16
$γ_{3}$	-0.2004	-4.67
$γ_{4}$	0.2904	6.67
$γ_{5}$	-0.2585	-3.63
$γ_{6}$	0.1885	2.24
$γ_{7}$	-0.1489	-2.08
$γ_{8}$	0.1394	2.65
$γ_{9}$	-0.0903	-2.77

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts