V-Lab: Sajo Industries Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Sajo Industries Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:16.22% (-1.11%)

Analysis last updated: Saturday, April 27, 2024 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7393	5.52
$α$	0.1555	9.98
$β$	0.7844	37.01
$γ_{1}$	-0.0535	-1.24
$γ_{2}$	0.1244	1.97
$γ_{3}$	-0.1861	-4.03
$γ_{4}$	0.1987	4.16
$γ_{5}$	-0.1425	-3.06
$γ_{6}$	0.1072	2.05
$γ_{7}$	-0.0989	-1.62
$γ_{8}$	0.1299	2.27
$γ_{9}$	-0.2692	-2.96

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts