V-Lab: Dae Hyun Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Dae Hyun Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:8.96% (-0.55%)

Analysis last updated: Wednesday, May 1, 2024 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8448	4.34
$α$	0.1025	7.38
$β$	0.8337	40.16
$γ_{1}$	-0.0187	-0.31
$γ_{2}$	0.1389	1.66
$γ_{3}$	-0.3048	-5.96
$γ_{4}$	0.2759	5.02
$γ_{5}$	-0.0870	-1.30
$γ_{6}$	-0.0338	-0.46
$γ_{7}$	0.0692	0.96
$γ_{8}$	-0.1490	-1.88
$γ_{9}$	0.3072	3.34
$γ_{10}$	-0.6466	-4.09

Estimation Period:
Sep 21, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts