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

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V-Lab

Kyung Nong Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:28.23% (-0.14%)

Analysis last updated: Wednesday, May 1, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9532	6.42
$α$	0.1511	8.04
$β$	0.7993	38.32
$γ_{1}$	-0.0278	-0.65
$γ_{2}$	0.0983	1.45
$γ_{3}$	-0.2062	-4.02
$γ_{4}$	0.2672	5.28
$γ_{5}$	-0.2573	-4.13
$γ_{6}$	0.1960	2.57
$γ_{7}$	-0.0125	-0.14
$γ_{8}$	-0.1393	-1.50
$γ_{9}$	0.1367	1.13

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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Volatility Forecasts

Volatility Forecasts