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

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V-Lab

TS Corp/Korea Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:24.71% (+2.01%)

Analysis last updated: Saturday, April 27, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8888	6.86
$α$	0.1219	8.82
$β$	0.8083	34.06
$γ_{1}$	0.0209	0.53
$γ_{2}$	-0.0001	-0.00
$γ_{3}$	-0.1438	-3.16
$γ_{4}$	0.2695	5.46
$γ_{5}$	-0.2379	-4.99
$γ_{6}$	0.1243	2.37
$γ_{7}$	-0.0603	-1.06
$γ_{8}$	0.1259	1.61
$γ_{9}$	-0.2810	-2.17

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts