V-Lab: Dongbu Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Dongbu Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:19.05% (-0.55%)

Analysis last updated: Saturday, May 4, 2024 at 11:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7248	6.17
$α$	0.1496	8.20
$β$	0.7747	31.19
$γ_{1}$	-0.0380	-0.96
$γ_{2}$	0.1234	2.19
$γ_{3}$	-0.2484	-6.50
$γ_{4}$	0.3169	7.95
$γ_{5}$	-0.2918	-6.83
$γ_{6}$	0.2913	6.25
$γ_{7}$	-0.2843	-5.29
$γ_{8}$	0.1630	3.36
$γ_{9}$	-0.0126	-0.37

Estimation Period:
Jan 3, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts