V-Lab: GS Retail Co Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

GS Retail Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:19.11% (-0.46%)

Analysis last updated: Saturday, April 27, 2024 at 11:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2178	4.10
$α$	0.0380	2.36
$β$	0.8895	10.48
$γ_{1}$	-0.2104	-0.46
$γ_{2}$	0.8651	1.26
$γ_{3}$	-1.6293	-3.62
$γ_{4}$	1.9170	5.51
$γ_{5}$	-1.7131	-4.92
$γ_{6}$	1.2296	3.16
$γ_{7}$	-0.6578	-1.57
$γ_{8}$	0.4334	0.76
$γ_{9}$	-0.8746	-1.15

Estimation Period:
Dec 23, 2011 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts