V-Lab: Kyung Nong Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Kyung Nong Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.64% (-0.13%)

Analysis last updated: Saturday, May 4, 2024 at 11:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9892	6.65
$α$	0.1484	7.97
$β$	0.8012	38.64
$γ_{1}$	-0.0054	-0.13
$γ_{2}$	0.0616	0.91
$γ_{3}$	-0.1807	-3.52
$γ_{4}$	0.2482	4.94
$γ_{5}$	-0.2450	-3.98
$γ_{6}$	0.1921	2.52
$γ_{7}$	-0.0203	-0.23
$γ_{8}$	-0.1142	-1.13
$γ_{9}$	0.0757	0.90

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts