V-Lab: Kyungnam Energy Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Kyungnam Energy Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 19th, 2016:441.54% (-41.30%)

Analysis last updated: Wednesday, May 18, 2016 at 07:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7660	3.33
$α$	0.1526	6.78
$β$	0.8071	26.22
$γ_{1}$	-0.1925	-1.37
$γ_{2}$	0.2091	0.98
$γ_{3}$	-0.1601	-0.97
$γ_{4}$	0.3615	2.44
$γ_{5}$	-0.3649	-2.18
$γ_{6}$	0.2927	1.36
$γ_{7}$	-0.5429	-2.23
$γ_{8}$	1.7672	3.46

Estimation Period:
Aug 15, 1994 to May 13, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts