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

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V-Lab

Sangsangin Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:18.92% (-0.12%)

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
$ω$	0.7968	6.28
$α$	0.2035	7.21
$β$	0.6984	20.60
$γ_{1}$	-0.0305	-0.73
$γ_{2}$	0.1582	2.52
$γ_{3}$	-0.3366	-7.38
$γ_{4}$	0.3822	8.31
$γ_{5}$	-0.2838	-5.82
$γ_{6}$	0.1451	2.76
$γ_{7}$	0.0392	0.53
$γ_{8}$	-0.2593	-2.25
$γ_{9}$	0.3628	2.37

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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