V-Lab: SK Securities Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

SK Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:15.10% (-0.54%)

Analysis last updated: Sunday, April 21, 2024 at 12:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8394	6.54
$α$	0.1592	7.07
$β$	0.7633	23.07
$γ_{1}$	-0.0428	-0.85
$γ_{2}$	0.1727	2.24
$γ_{3}$	-0.2696	-4.70
$γ_{4}$	0.1652	2.95
$γ_{5}$	0.0143	0.23
$γ_{6}$	-0.1302	-1.89
$γ_{7}$	0.1775	2.33
$γ_{8}$	-0.0969	-1.02
$γ_{9}$	-0.0184	-0.18
$γ_{10}$	-0.0316	-0.29

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

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