V-Lab: Dongbu Corp Spline-GARCH Volatility Analysis

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V-Lab

Dongbu Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:17.18% (-0.59%)

Analysis last updated: Saturday, May 4, 2024 at 11:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6939	5.88
$α$	0.1492	8.14
$β$	0.7739	30.73
$γ_{1}$	-0.0573	-1.42
$γ_{2}$	0.1553	2.71
$γ_{3}$	-0.2717	-7.12
$γ_{4}$	0.3369	8.46
$γ_{5}$	-0.3093	-7.27
$γ_{6}$	0.3071	6.62
$γ_{7}$	-0.3013	-5.59
$γ_{8}$	0.1901	3.66
$γ_{9}$	-0.0750	-1.20

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts