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

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V-Lab

Daelim B&Co Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.71% (-1.47%)

Analysis last updated: Sunday, April 21, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8191	7.01
$α$	0.1364	9.97
$β$	0.7972	41.97
$γ_{1}$	0.1171	2.37
$γ_{2}$	-0.2334	-2.88
$γ_{3}$	0.1003	1.49
$γ_{4}$	0.0719	0.99
$γ_{5}$	-0.0763	-0.96
$γ_{6}$	0.0969	1.42
$γ_{7}$	-0.2274	-3.76
$γ_{8}$	0.2988	4.18
$γ_{9}$	-0.3525	-3.18

Estimation Period:
Dec 23, 1992 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts