V-Lab: Seoul Broadcasting System Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Seoul Broadcasting System Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:40.41% (+0.01%)

Analysis last updated: Wednesday, May 1, 2024 at 09:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4060	4.90
$α$	0.0663	6.59
$β$	0.8881	49.86
$γ_{1}$	-0.1768	-1.71
$γ_{2}$	0.3830	2.73
$γ_{3}$	-0.2947	-3.08
$γ_{4}$	0.0668	0.66
$γ_{5}$	0.0599	0.58
$γ_{6}$	-0.1201	-1.19
$γ_{7}$	0.3028	3.33
$γ_{8}$	-0.4505	-4.54
$γ_{9}$	0.4243	2.64

Estimation Period:
May 25, 1999 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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