V-Lab: Keangnam Enterprises Ltd Spline-GARCH Volatility Analysis

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V-Lab

Keangnam Enterprises Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 15th, 2015:1377.73% (-37.76%)

Analysis last updated: Friday, January 29, 2016 at 01:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3365	2.70
$α$	0.1430	11.73
$β$	0.8542	66.47
$γ_{1}$	-0.1261	-0.48
$γ_{2}$	0.1809	0.49
$γ_{3}$	0.0016	0.01
$γ_{4}$	0.0071	0.02
$γ_{5}$	-0.4134	-0.95
$γ_{6}$	0.5808	1.86
$γ_{7}$	-0.1584	-0.70
$γ_{8}$	-0.4212	-1.37
$γ_{9}$	-0.1739	-0.14
$γ_{10}$	4.0781	0.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts