V-Lab: Bookook Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bookook Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.46% (-2.55%)

Analysis last updated: Sunday, April 21, 2024 at 12:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1532	7.24
$α$	0.1652	9.17
$β$	0.7454	28.64
$γ_{1}$	0.0265	0.71
$γ_{2}$	0.0373	0.63
$γ_{3}$	-0.2053	-4.34
$γ_{4}$	0.2423	4.99
$γ_{5}$	-0.1600	-3.26
$γ_{6}$	0.0795	1.66
$γ_{7}$	-0.0125	-0.26
$γ_{8}$	-0.0015	-0.03
$γ_{9}$	-0.0068	-0.20

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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