V-Lab: Daeduck GDS Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Daeduck GDS Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 29th, 2018:51.03% (-0.73%)

Analysis last updated: Wednesday, November 28, 2018 at 07:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9746	7.98
$α$	0.0594	7.26
$β$	0.9114	74.15
$γ_{1}$	0.0462	2.76
$γ_{2}$	-0.1000	-3.84
$γ_{3}$	0.0887	5.02
$γ_{4}$	-0.0447	-2.58
$γ_{5}$	0.0338	1.22

Estimation Period:
Jan 3, 1990 to Nov 23, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts