V-Lab: Woojin Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Woojin Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:36.19% (-1.30%)

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
$ω$	0.9587	5.51
$α$	0.1764	4.01
$β$	0.6350	7.59
$γ_{1}$	-0.4089	-1.10
$γ_{2}$	0.6073	1.11
$γ_{3}$	-0.5178	-1.62
$γ_{4}$	0.8684	3.12
$γ_{5}$	-0.4795	-1.38
$γ_{6}$	-0.6274	-1.54
$γ_{7}$	1.1664	3.10
$γ_{8}$	-1.3575	-3.06
$γ_{9}$	1.2216	1.78

Estimation Period:
Jul 26, 2010 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts