V-Lab: Shinsegae Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shinsegae Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:21.49% (-1.14%)

Analysis last updated: Thursday, May 2, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0437	4.29
$α$	0.0905	5.39
$β$	0.8359	23.86
$γ_{1}$	0.1156	0.93
$γ_{2}$	-0.0093	-0.05
$γ_{3}$	-0.2512	-2.14
$γ_{4}$	0.1993	2.08
$γ_{5}$	0.1009	1.12
$γ_{6}$	-0.4028	-3.97
$γ_{7}$	0.4241	3.86
$γ_{8}$	-0.3093	-2.88
$γ_{9}$	0.2049	2.69

Estimation Period:
Aug 1, 2001 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts