V-Lab: Samho Development Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Samho Development Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:11.38% (-0.19%)

Analysis last updated: Wednesday, May 1, 2024 at 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2128	3.98
$α$	0.2026	8.08
$β$	0.7046	22.80
$γ_{1}$	-0.1862	-1.23
$γ_{2}$	0.4839	2.40
$γ_{3}$	-0.6624	-5.05
$γ_{4}$	0.5787	4.07
$γ_{5}$	-0.3340	-2.51
$γ_{6}$	0.2853	2.03
$γ_{7}$	-0.3078	-1.98
$γ_{8}$	0.2123	1.40
$γ_{9}$	-0.2703	-1.18

Estimation Period:
Jul 17, 2002 to Apr 30, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts