V-Lab: Daegu Department Store Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Daegu Department Store Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:39.86% (-1.35%)

Analysis last updated: Thursday, May 2, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8651	4.66
$α$	0.0844	8.90
$β$	0.8930	68.53
$γ_{1}$	0.0107	0.26
$γ_{2}$	0.0354	0.58
$γ_{3}$	-0.1678	-3.80
$γ_{4}$	0.1853	4.28
$γ_{5}$	-0.0557	-1.15
$γ_{6}$	-0.0344	-0.47
$γ_{7}$	0.0927	1.18
$γ_{8}$	-0.1096	-2.27

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts