V-Lab: Samsung E&A Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Samsung E&A Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:41.18% (-1.53%)

Analysis last updated: Wednesday, May 1, 2024 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7079	6.52
$α$	0.0724	6.55
$β$	0.8725	48.39
$γ_{1}$	-0.2476	-4.33
$γ_{2}$	0.3149	3.58
$γ_{3}$	-0.0318	-0.53
$γ_{4}$	-0.1121	-2.29
$γ_{5}$	0.1785	3.72
$γ_{6}$	-0.2058	-3.66
$γ_{7}$	0.1765	2.70
$γ_{8}$	-0.1090	-1.15

Estimation Period:
Dec 25, 1996 to Apr 30, 2024

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Volatility Forecasts