V-Lab: Dongbuka No 11 Ship Investment Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Dongbuka No 11 Ship Investment Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 29th, 2017:6.71% (-0.21%)

Analysis last updated: Friday, May 26, 2017 at 07:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7867	2.50
$α$	0.2926	5.18
$β$	0.6637	8.97
$γ_{1}$	0.6336	0.27
$γ_{2}$	-0.3644	-0.09
$γ_{3}$	-2.4730	-0.81
$γ_{4}$	3.4123	1.53
$γ_{5}$	-0.2213	-0.12
$γ_{6}$	-3.8833	-2.25
$γ_{7}$	8.4619	4.45
$γ_{8}$	-16.0811	-6.21

Estimation Period:
Sep 19, 2005 to May 26, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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