V-Lab: KCTC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

KCTC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:40.58% (-4.35%)

Analysis last updated: Tuesday, April 30, 2024 at 09:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6385	4.77
$α$	0.1970	9.08
$β$	0.7414	31.81
$γ_{1}$	-0.0430	-0.78
$γ_{2}$	0.1121	1.36
$γ_{3}$	-0.1998	-3.10
$γ_{4}$	0.2421	3.78
$γ_{5}$	-0.1904	-3.16
$γ_{6}$	0.1004	1.68
$γ_{7}$	0.0046	0.07
$γ_{8}$	-0.0488	-0.73
$γ_{9}$	0.0316	0.78

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

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