V-Lab: Sangsangin Investment & Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sangsangin Investment & Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:14.74% (-0.15%)

Analysis last updated: Friday, May 3, 2024 at 10:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8804	6.71
$α$	0.2104	7.24
$β$	0.6978	20.90
$γ_{1}$	-0.0007	-0.02
$γ_{2}$	0.1122	1.81
$γ_{3}$	-0.3087	-6.63
$γ_{4}$	0.3639	7.78
$γ_{5}$	-0.2754	-5.59
$γ_{6}$	0.1461	2.82
$γ_{7}$	0.0285	0.42
$γ_{8}$	-0.2292	-2.45
$γ_{9}$	0.2662	3.36

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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