V-Lab: Sam Yung Trading Co Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Sam Yung Trading Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:12.78% (-0.59%)

Analysis last updated: Saturday, April 27, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9163	8.21
$α$	0.0924	7.89
$β$	0.8440	40.24
$γ_{1}$	-0.0136	-0.38
$γ_{2}$	0.0445	0.77
$γ_{3}$	-0.1378	-2.54
$γ_{4}$	0.2233	3.49
$γ_{5}$	-0.2162	-3.68
$γ_{6}$	0.2019	4.44
$γ_{7}$	-0.1951	-5.15
$γ_{8}$	0.1251	3.04
$γ_{9}$	-0.0619	-0.82

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts