V-Lab: Sangsin Brake MF2-GARCH Volatility Analysis

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V-Lab

Sangsin Brake MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:28.50% (-1.04%)

Analysis last updated: Sunday, April 21, 2024 at 12:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1477	16.66
$β$	0.5718	24.04
$γ$	0.0829	6.83
$λ_{1}$	0.1439	2.04
$λ_{2}$	0.1059	2.60
$λ_{3}$	0.8751	17.76

Estimation Period:
Nov 15, 2001 to Apr 19, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts