V-Lab: Samyang Genex Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Samyang Genex Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 29th, 2015:47.47% (-0.78%)

Analysis last updated: Friday, January 29, 2016 at 02:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7981	7.27
$α$	0.1020	7.55
$β$	0.8307	37.36
$γ_{1}$	-0.0919	-2.54
$γ_{2}$	0.1607	2.90
$γ_{3}$	-0.1835	-4.47
$γ_{4}$	0.2158	5.00
$γ_{5}$	-0.1583	-3.18
$γ_{6}$	0.0754	1.59
$γ_{7}$	0.0995	1.27

Estimation Period:
Jan 3, 1990 to Dec 24, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts