V-Lab: Chonbang Co Spline-GARCH Volatility Analysis

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V-Lab

Chonbang Co Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:25.58% (-0.66%)

Analysis last updated: Friday, May 3, 2024 at 12:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7440	7.70
$α$	0.1753	8.16
$β$	0.7464	24.09
$γ_{1}$	0.0058	0.75
$γ_{2}$	-0.0246	-1.90
$γ_{3}$	0.0329	2.56
$γ_{4}$	-0.0267	-1.43

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts