V-Lab: Moorim P&P Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Moorim P&P Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:18.91% (-0.31%)

Analysis last updated: Sunday, April 21, 2024 at 12:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6396	6.19
$α$	0.1450	9.53
$β$	0.7468	29.87
$γ_{1}$	-0.0830	-1.94
$γ_{2}$	0.1914	3.03
$γ_{3}$	-0.2706	-5.09
$γ_{4}$	0.2441	4.34
$γ_{5}$	-0.0906	-1.54
$γ_{6}$	-0.0526	-0.96
$γ_{7}$	0.1837	3.71
$γ_{8}$	-0.2192	-4.38
$γ_{9}$	0.1341	3.62

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts