V-Lab: Korea Electric Power Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Korea Electric Power Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:35.04% (-1.53%)

Analysis last updated: Wednesday, May 1, 2024 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9089	5.89
$α$	0.0864	9.64
$β$	0.8728	65.83
$γ_{1}$	-0.0414	-0.91
$γ_{2}$	0.1437	2.17
$γ_{3}$	-0.2529	-5.54
$γ_{4}$	0.2267	4.94
$γ_{5}$	-0.0788	-1.81
$γ_{6}$	0.0154	0.39
$γ_{7}$	-0.0413	-0.92
$γ_{8}$	0.0606	1.28
$γ_{9}$	-0.0481	-1.50

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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