V-Lab: KCTC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

KCTC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:38.41% (-5.72%)

Analysis last updated: Saturday, April 27, 2024 at 11:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5752	5.01
$α$	0.1969	9.37
$β$	0.7234	28.45
$γ_{1}$	-0.0553	-1.06
$γ_{2}$	0.1332	1.71
$γ_{3}$	-0.2198	-3.68
$γ_{4}$	0.2637	4.39
$γ_{5}$	-0.2127	-3.76
$γ_{6}$	0.1353	2.41
$γ_{7}$	-0.0661	-1.04
$γ_{8}$	0.1045	1.45
$γ_{9}$	-0.3545	-2.82

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts