V-Lab: Lotte Food Co Ltd MF2-GARCH Volatility Analysis

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V-Lab

Lotte Food Co Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, July 22nd, 2022:16.64% (-0.10%)

Analysis last updated: Saturday, July 23, 2022 at 03:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1117	28.87
$β$	0.7098	61.74
$γ$	0.0711	10.60
$λ_{1}$	0.0239	3.39
$λ_{2}$	0.0230	5.78
$λ_{3}$	0.9735	196.22

Estimation Period:
Jan 3, 1990 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts