V-Lab: Samwhan Corp Spline-GARCH Volatility Analysis

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V-Lab

Samwhan Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 15th, 2015:246.77% (+4.77%)

Analysis last updated: Friday, January 29, 2016 at 02:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6619	4.58
$α$	0.1238	6.07
$β$	0.7995	22.93
$γ_{1}$	0.0237	0.20
$γ_{2}$	-0.0525	-0.32
$γ_{3}$	0.1578	1.75
$γ_{4}$	-0.2934	-3.03
$γ_{5}$	0.0663	0.54
$γ_{6}$	0.2956	2.21
$γ_{7}$	-0.2373	-1.96
$γ_{8}$	-0.0506	-0.35
$γ_{9}$	0.3638	1.38
$γ_{10}$	-0.5146	-0.68

Estimation Period:
Jan 3, 1990 to Apr 10, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts