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

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V-Lab

YuHwa Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:13.74% (+1.29%)

Analysis last updated: Saturday, April 27, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1422	7.81
$α$	0.1855	6.64
$β$	0.6847	18.05
$γ_{1}$	0.0057	0.16
$γ_{2}$	0.0720	1.29
$γ_{3}$	-0.2428	-4.82
$γ_{4}$	0.2900	4.81
$γ_{5}$	-0.1712	-2.98
$γ_{6}$	0.0085	0.16
$γ_{7}$	0.0849	1.85
$γ_{8}$	-0.0037	-0.10
$γ_{9}$	-0.1523	-2.37

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts