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

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V-Lab

Gwangju Shinsegae Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:17.94% (-2.26%)

Analysis last updated: Wednesday, May 1, 2024 at 09:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.1806	5.38
$α$	0.1897	5.03
$β$	0.6256	10.73
$γ_{1}$	0.3736	3.17
$γ_{2}$	-0.3932	-2.18
$γ_{3}$	-0.0985	-0.75
$γ_{4}$	0.2518	2.17
$γ_{5}$	-0.1725	-1.59
$γ_{6}$	-0.0188	-0.15
$γ_{7}$	0.2595	1.75
$γ_{8}$	-0.4579	-3.59
$γ_{9}$	0.3711	5.04

Estimation Period:
Feb 7, 2002 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts