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

V-Lab

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V-Lab

Lotte Food Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 22nd, 2022:17.23% (-0.02%)

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
$ω$	0.8597	7.18
$α$	0.1248	9.41
$β$	0.7852	34.83
$γ_{1}$	-0.0225	-0.68
$γ_{2}$	0.0673	1.43
$γ_{3}$	-0.1345	-4.13
$γ_{4}$	0.1553	4.52
$γ_{5}$	-0.1016	-2.95
$γ_{6}$	0.0716	2.18
$γ_{7}$	-0.0765	-2.28
$γ_{8}$	0.0825	1.68

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts