V-Lab: Meritz Securities Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Meritz Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 27th, 2023:23.68% (-0.05%)

Analysis last updated: Thursday, April 27, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9835	6.72
$α$	0.1343	7.76
$β$	0.7811	33.94
$γ_{1}$	0.1593	3.22
$γ_{2}$	-0.1929	-2.73
$γ_{3}$	-0.1112	-2.47
$γ_{4}$	0.3483	7.47
$γ_{5}$	-0.4144	-8.17
$γ_{6}$	0.4046	8.52
$γ_{7}$	-0.3079	-6.89
$γ_{8}$	0.1805	3.69
$γ_{9}$	-0.1271	-1.40

Estimation Period:
Jan 15, 1992 to Apr 21, 2023

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Volatility Forecasts

Volatility Forecasts