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

V-Lab

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V-Lab

Moorim P&P Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:10.14% (-0.50%)

Analysis last updated: Saturday, April 27, 2024 at 11:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6038	6.41
$α$	0.1553	9.64
$β$	0.6975	23.99
$γ_{1}$	-0.1016	-2.55
$γ_{2}$	0.2220	3.85
$γ_{3}$	-0.2955	-6.28
$γ_{4}$	0.2707	5.34
$γ_{5}$	-0.1179	-2.24
$γ_{6}$	-0.0155	-0.31
$γ_{7}$	0.1128	2.42
$γ_{8}$	-0.0706	-1.29
$γ_{9}$	-0.2332	-3.25

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts