V-Lab: YuHwa Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

YuHwa Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:16.04% (+1.09%)

Analysis last updated: Saturday, April 27, 2024 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1665	7.62
$α$	0.1839	6.44
$β$	0.6970	17.85
$γ_{1}$	0.0147	0.41
$γ_{2}$	0.0552	0.97
$γ_{3}$	-0.2268	-4.38
$γ_{4}$	0.2744	4.45
$γ_{5}$	-0.1575	-2.68
$γ_{6}$	-0.0056	-0.10
$γ_{7}$	0.1075	2.30
$γ_{8}$	-0.0520	-1.51
$γ_{9}$	-0.0250	-1.08

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts