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

V-Lab

| |

V-Lab

Shinhung Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:42.94% (-7.57%)

Analysis last updated: Thursday, May 2, 2024 at 11:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7835	2.06
$α$	0.2248	5.08
$β$	0.7210	20.44
$γ_{1}$	-0.1552	-1.52
$γ_{2}$	0.2638	1.66
$γ_{3}$	-0.2704	-2.59
$γ_{4}$	0.2282	2.51
$γ_{5}$	-0.0182	-0.17
$γ_{6}$	-0.1834	-1.48
$γ_{7}$	0.3482	3.04
$γ_{8}$	-0.4217	-3.64
$γ_{9}$	0.3630	2.87
$γ_{10}$	-0.4441	-2.73

Estimation Period:
Feb 8, 1991 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts