V-Lab: Pang Rim Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pang Rim Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:46.97% (+0.19%)

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
$ω$	0.8751	6.89
$α$	0.1715	6.98
$β$	0.7606	22.16
$γ_{1}$	-0.0002	-0.01
$γ_{2}$	0.0440	0.79
$γ_{3}$	-0.1317	-3.00
$γ_{4}$	0.1335	2.90
$γ_{5}$	-0.0884	-1.86
$γ_{6}$	0.0784	1.54
$γ_{7}$	-0.0515	-0.97
$γ_{8}$	0.1127	1.95
$γ_{9}$	-0.1754	-3.34

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts