V-Lab: Hanssem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Hanssem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:40.45% (-5.42%)

Analysis last updated: Wednesday, May 1, 2024 at 10:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9700	7.21
$α$	0.1078	3.76
$β$	0.5349	5.18
$γ_{1}$	0.1626	1.93
$γ_{2}$	-0.1182	-0.93
$γ_{3}$	-0.0993	-1.18
$γ_{4}$	0.1393	1.85
$γ_{5}$	-0.1813	-2.43
$γ_{6}$	0.1801	2.50
$γ_{7}$	-0.1684	-2.70
$γ_{8}$	0.1271	2.63

Estimation Period:
Jul 23, 2002 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts