V-Lab: Tailim Paper Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Tailim Paper Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, August 11th, 2016:500.99% (-39.63%)

Analysis last updated: Wednesday, August 10, 2016 at 08:29 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3760	4.05
$α$	0.1431	7.49
$β$	0.8525	48.96
$γ_{1}$	-0.2281	-0.71
$γ_{2}$	0.1490	0.34
$γ_{3}$	0.1108	0.39
$γ_{4}$	0.0831	0.31
$γ_{5}$	-0.2190	-1.01
$γ_{6}$	0.2661	1.09
$γ_{7}$	-1.6419	-1.80
$γ_{8}$	5.7089	1.79

Estimation Period:
Aug 18, 1995 to Aug 5, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts