V-Lab: CJ Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CJ Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:50.63% (-1.64%)

Analysis last updated: Thursday, May 2, 2024 at 11:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7739	6.33
$α$	0.0803	6.63
$β$	0.8743	38.37
$γ_{1}$	-0.0061	-0.14
$γ_{2}$	0.0876	1.34
$γ_{3}$	-0.2312	-4.61
$γ_{4}$	0.2540	5.13
$γ_{5}$	-0.1533	-3.12
$γ_{6}$	0.0793	1.82
$γ_{7}$	-0.0514	-1.22
$γ_{8}$	0.0111	0.27
$γ_{9}$	0.1400	1.99

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

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Volatility Forecasts