V-Lab: Daelim B&Co Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Daelim B&Co Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:26.82% (+0.02%)

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
$ω$	0.8202	6.51
$α$	0.1363	10.27
$β$	0.8057	46.16
$γ_{1}$	0.1080	2.06
$γ_{2}$	-0.2207	-2.56
$γ_{3}$	0.0979	1.37
$γ_{4}$	0.0636	0.83
$γ_{5}$	-0.0549	-0.65
$γ_{6}$	0.0593	0.82
$γ_{7}$	-0.1666	-2.72
$γ_{8}$	0.1865	3.21
$γ_{9}$	-0.0822	-1.90

Estimation Period:
Dec 23, 1992 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts