V-Lab: SM Bexel Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SM Bexel Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:7.75% (-2.40%)

Analysis last updated: Thursday, May 2, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	7.4947	4.51
$α$	0.4172	58.95
$β$	0.5823	81.46
$γ_{1}$	-0.1006	-0.89
$γ_{2}$	-0.0160	-0.10
$γ_{3}$	0.1801	1.65
$γ_{4}$	-0.1131	-1.07
$γ_{5}$	0.1425	1.38
$γ_{6}$	-0.2828	-2.32
$γ_{7}$	0.6562	3.41
$γ_{8}$	-6.3114	-14.70
$γ_{9}$	19.6890	15.51
$γ_{10}$	-36.5183	-8.38

Estimation Period:
Dec 27, 1994 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts