V-Lab: Samsung Publishing Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Samsung Publishing Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:69.64% (+0.47%)

Analysis last updated: Sunday, April 21, 2024 at 12:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8728	3.10
$α$	0.1473	6.62
$β$	0.7981	32.60
$γ_{1}$	0.0802	0.53
$γ_{2}$	-0.0425	-0.21
$γ_{3}$	-0.1366	-1.15
$γ_{4}$	0.2491	1.69
$γ_{5}$	-0.3754	-2.25
$γ_{6}$	0.5438	3.87
$γ_{7}$	-0.7425	-5.53
$γ_{8}$	1.0158	3.80

Estimation Period:
Aug 5, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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