V-Lab: CJ Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CJ Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:40.30% (-1.95%)

Analysis last updated: Thursday, May 2, 2024 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8043	6.26
$α$	0.0783	6.97
$β$	0.8827	44.69
$γ_{1}$	-0.0018	-0.04
$γ_{2}$	0.0807	1.18
$γ_{3}$	-0.2241	-4.17
$γ_{4}$	0.2430	4.58
$γ_{5}$	-0.1432	-2.71
$γ_{6}$	0.0798	1.70
$γ_{7}$	-0.0715	-1.59
$γ_{8}$	0.0700	1.64
$γ_{9}$	-0.0433	-1.39

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

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Volatility Forecasts

Volatility Forecasts