V-Lab: Alvogen Korea Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Alvogen Korea Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 18th, 2019:3.74% (-0.08%)

Analysis last updated: Friday, March 15, 2019 at 08:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6064	6.03
$α$	0.1500	6.21
$β$	0.7739	22.73
$γ_{1}$	-0.0561	-0.62
$γ_{2}$	0.1652	1.26
$γ_{3}$	-0.2921	-3.66
$γ_{4}$	0.2620	2.35
$γ_{5}$	-0.1037	-1.05
$γ_{6}$	-0.0112	-0.15
$γ_{7}$	0.2001	2.98
$γ_{8}$	-0.3088	-3.22
$γ_{9}$	-0.1862	-0.85

Estimation Period:
Jan 3, 1990 to Mar 15, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts