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

V-Lab

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V-Lab

Firstec Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:39.74% (-0.16%)

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
$ω$	0.6028	4.39
$α$	0.1825	10.33
$β$	0.7688	34.39
$γ_{1}$	-0.0562	-0.92
$γ_{2}$	0.1689	1.96
$γ_{3}$	-0.2806	-5.66
$γ_{4}$	0.2787	5.83
$γ_{5}$	-0.1812	-3.60
$γ_{6}$	0.1009	1.77
$γ_{7}$	-0.0209	-0.29
$γ_{8}$	-0.0060	-0.09
$γ_{9}$	-0.0134	-0.30

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts