V-Lab: KG DONGBUSTEEL Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

KG DONGBUSTEEL Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:37.27% (-0.62%)

Analysis last updated: Saturday, April 27, 2024 at 11:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5005	5.26
$α$	0.1223	7.82
$β$	0.8227	36.53
$γ_{1}$	-0.1153	-1.87
$γ_{2}$	0.2320	2.61
$γ_{3}$	-0.2436	-3.76
$γ_{4}$	0.1671	2.44
$γ_{5}$	0.0065	0.09
$γ_{6}$	-0.1829	-2.37
$γ_{7}$	0.3418	4.37
$γ_{8}$	-0.3446	-3.68
$γ_{9}$	0.1503	1.35
$γ_{10}$	0.0053	0.07

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts