V-Lab: Kukdong Corp Spline-GARCH Volatility Analysis

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V-Lab

Kukdong Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:25.77% (+2.18%)

Analysis last updated: Friday, May 3, 2024 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1563	5.89
$α$	0.2207	8.41
$β$	0.6196	16.27
$γ_{1}$	-0.0902	-1.35
$γ_{2}$	0.0922	0.90
$γ_{3}$	0.1686	2.07
$γ_{4}$	-0.3738	-4.84
$γ_{5}$	0.3452	4.93
$γ_{6}$	-0.3107	-4.92
$γ_{7}$	0.3510	5.20
$γ_{8}$	-0.2939	-3.20
$γ_{9}$	0.0686	0.51

Estimation Period:
Dec 25, 1996 to Apr 30, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts