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

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V-Lab

Daishin Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:18.89% (+0.31%)

Analysis last updated: Saturday, April 27, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8004	7.63
$α$	0.0847	8.48
$β$	0.8590	48.83
$γ_{1}$	-0.0060	-0.17
$γ_{2}$	0.0984	1.79
$γ_{3}$	-0.2567	-6.55
$γ_{4}$	0.2609	6.96
$γ_{5}$	-0.1537	-3.90
$γ_{6}$	0.0974	2.42
$γ_{7}$	-0.0389	-0.93
$γ_{8}$	0.0116	0.23
$γ_{9}$	-0.1292	-1.52

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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