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

V-Lab

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V-Lab

Daegu Department Store Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:35.14% (+0.97%)

Analysis last updated: Saturday, April 27, 2024 at 11:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8490	4.79
$α$	0.0872	9.46
$β$	0.8875	72.33
$γ_{1}$	0.0075	0.19
$γ_{2}$	0.0407	0.69
$γ_{3}$	-0.1708	-4.06
$γ_{4}$	0.1835	4.44
$γ_{5}$	-0.0427	-0.91
$γ_{6}$	-0.0674	-0.96
$γ_{7}$	0.1710	2.04
$γ_{8}$	-0.3501	-2.46

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts