V-Lab: Daelim Trading Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Daelim Trading Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:21.72% (-1.72%)

Analysis last updated: Wednesday, May 1, 2024 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7976	8.95
$α$	0.2219	4.84
$β$	0.5728	9.53
$γ_{1}$	-0.0565	-1.56
$γ_{2}$	0.1088	1.97
$γ_{3}$	-0.1513	-3.62
$γ_{4}$	0.2063	4.37
$γ_{5}$	-0.2152	-3.13
$γ_{6}$	0.0873	0.85
$γ_{7}$	0.2014	1.52
$γ_{8}$	-0.3526	-2.62
$γ_{9}$	0.3161	3.12
$γ_{10}$	-0.3531	-3.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts