V-Lab: Han Chang Corp Spline-GARCH Volatility Analysis

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V-Lab

Han Chang Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:79.78% (-0.06%)

Analysis last updated: Saturday, April 27, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5817	6.86
$α$	0.1639	9.95
$β$	0.7474	26.70
$γ_{1}$	-0.0571	-1.52
$γ_{2}$	0.1245	2.27
$γ_{3}$	-0.1262	-3.14
$γ_{4}$	0.0265	0.60
$γ_{5}$	0.0786	1.68
$γ_{6}$	-0.0453	-0.81
$γ_{7}$	0.0108	0.17
$γ_{8}$	-0.0558	-0.97
$γ_{9}$	0.1507	2.08

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts