V-Lab: Hyungji Elite Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hyungji Elite Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:18.59% (-0.85%)

Analysis last updated: Friday, May 3, 2024 at 12:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9489	3.18
$α$	0.2653	5.52
$β$	0.6184	13.40
$γ_{1}$	0.3070	0.95
$γ_{2}$	-0.6847	-1.49
$γ_{3}$	0.9525	2.85
$γ_{4}$	-1.0291	-2.83
$γ_{5}$	0.5959	1.66
$γ_{6}$	-0.0761	-0.25
$γ_{7}$	-0.3534	-1.35
$γ_{8}$	0.3293	0.93

Estimation Period:
Sep 28, 2009 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts