V-Lab: Samyang Entech Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Samyang Entech Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 27th, 2014:29.59% (+3.35%)

Analysis last updated: Wednesday, November 26, 2014 at 11:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6481	4.88
$α$	0.2777	8.89
$β$	0.5420	12.26
$γ_{1}$	-0.0233	-0.26
$γ_{2}$	0.0352	0.29
$γ_{3}$	0.0516	0.64
$γ_{4}$	-0.2954	-3.95
$γ_{5}$	0.4212	5.21
$γ_{6}$	-0.2875	-2.96
$γ_{7}$	0.1376	1.48
$γ_{8}$	-0.1253	-1.37
$γ_{9}$	0.3855	2.27

Estimation Period:
Jan 3, 1990 to Nov 21, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts