V-Lab: Shinsung Tongsang Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Shinsung Tongsang Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:14.39% (-0.79%)

Analysis last updated: Wednesday, May 1, 2024 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9075	3.57
$α$	0.1189	9.61
$β$	0.8489	55.40
$γ_{1}$	-0.0102	-0.16
$γ_{2}$	0.0860	0.96
$γ_{3}$	-0.1858	-3.02
$γ_{4}$	0.1497	2.46
$γ_{5}$	-0.0532	-0.94
$γ_{6}$	0.0628	1.09
$γ_{7}$	-0.1277	-1.98
$γ_{8}$	0.2085	3.21
$γ_{9}$	-0.4443	-4.99

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts