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

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V-Lab

Hanyang Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:18.12% (-0.50%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0419	7.00
$α$	0.1032	7.15
$β$	0.8532	39.44
$γ_{1}$	0.0531	1.25
$γ_{2}$	0.0056	0.08
$γ_{3}$	-0.2205	-4.56
$γ_{4}$	0.3017	6.19
$γ_{5}$	-0.2514	-4.29
$γ_{6}$	0.1392	2.09
$γ_{7}$	0.0296	0.49
$γ_{8}$	-0.0691	-1.33
$γ_{9}$	0.0006	0.02

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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