V-Lab: Sungshin Cement Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Sungshin Cement Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:13.24% (-0.49%)

Analysis last updated: Sunday, April 21, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5610	5.89
$α$	0.1065	9.16
$β$	0.8426	49.58
$γ_{1}$	-0.0731	-1.57
$γ_{2}$	0.1686	2.44
$γ_{3}$	-0.2558	-5.50
$γ_{4}$	0.2747	5.69
$γ_{5}$	-0.1454	-2.78
$γ_{6}$	0.0369	0.72
$γ_{7}$	-0.0260	-0.47
$γ_{8}$	0.0665	1.06
$γ_{9}$	-0.2526	-3.33

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts