V-Lab: TS Corp/Korea MF2-GARCH Volatility Analysis

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V-Lab

TS Corp/Korea MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:25.21% (+1.23%)

Analysis last updated: Saturday, April 27, 2024 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.1823	18.51
$β$	0.7483	57.07
$γ$	-0.0788	-5.69
$λ_{1}$	0.1596	2.98
$λ_{2}$	0.0988	3.16
$λ_{3}$	0.8794	23.39

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

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