V-Lab: SJG Sejong Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

SJG Sejong Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.35% (-0.63%)

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
$ω$	1.9394	6.66
$α$	0.1135	7.63
$β$	0.7978	30.76
$γ_{1}$	0.0113	0.14
$γ_{2}$	-0.0090	-0.07
$γ_{3}$	0.0592	0.58
$γ_{4}$	-0.0899	-0.97
$γ_{5}$	0.0127	0.15
$γ_{6}$	-0.0207	-0.28
$γ_{7}$	0.2089	2.54
$γ_{8}$	-0.3632	-3.69
$γ_{9}$	0.2633	3.38

Estimation Period:
Jan 7, 1998 to Apr 30, 2024

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