V-Lab: SAJOHAEPYO Corp Spline-GARCH Volatility Analysis

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V-Lab

SAJOHAEPYO Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 30th, 2019:51.30% (-3.87%)

Analysis last updated: Wednesday, May 29, 2019 at 07:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3610	3.64
$α$	0.1012	4.99
$β$	0.8340	28.88
$γ_{1}$	-0.3644	-0.76
$γ_{2}$	1.0584	1.48
$γ_{3}$	-1.1249	-2.34
$γ_{4}$	0.5260	0.89
$γ_{5}$	0.0684	0.10
$γ_{6}$	-0.7012	-1.29
$γ_{7}$	1.3475	2.80
$γ_{8}$	-1.6999	-2.87
$γ_{9}$	1.7003	1.63
$γ_{10}$	-1.5297	-0.86

Estimation Period:
Sep 21, 2004 to May 24, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts