V-Lab: Samyoung Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Samyoung Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:36.86% (-0.87%)

Analysis last updated: Friday, May 3, 2024 at 10:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7642	7.86
$α$	0.1027	7.28
$β$	0.8264	38.31
$γ_{1}$	-0.0342	-1.06
$γ_{2}$	0.0927	1.87
$γ_{3}$	-0.2251	-6.10
$γ_{4}$	0.3544	10.49
$γ_{5}$	-0.2807	-6.98
$γ_{6}$	0.0834	1.64
$γ_{7}$	0.0499	0.78
$γ_{8}$	-0.0252	-0.33
$γ_{9}$	-0.0847	-0.80

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts