V-Lab: Toray Chemical Korea Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Toray Chemical Korea Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, February 22nd, 2018:3.08% (+0.07%)

Analysis last updated: Wednesday, February 21, 2018 at 07:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6942	5.44
$α$	0.1192	8.80
$β$	0.8328	39.10
$γ_{1}$	-0.0497	-0.65
$γ_{2}$	0.1321	1.10
$γ_{3}$	-0.0816	-0.93
$γ_{4}$	-0.0920	-1.14
$γ_{5}$	0.1160	1.38
$γ_{6}$	-0.0411	-0.47
$γ_{7}$	0.0384	0.37
$γ_{8}$	0.0164	0.07
$γ_{9}$	-1.3502	-1.47

Estimation Period:
Jan 3, 1990 to Feb 14, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts