V-Lab: MonAmi Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

MonAmi Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.56% (-0.49%)

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
$ω$	1.3011	3.63
$α$	0.1068	10.65
$β$	0.8898	86.27
$γ_{1}$	-0.0409	-0.30
$γ_{2}$	0.0671	0.33
$γ_{3}$	-0.0878	-0.65
$γ_{4}$	0.0668	0.53
$γ_{5}$	0.0684	0.45
$γ_{6}$	-0.2402	-1.40
$γ_{7}$	-0.0575	-0.23
$γ_{8}$	1.1036	2.05
$γ_{9}$	-1.5914	-2.54
$γ_{10}$	0.8812	2.66

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

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