V-Lab: Dong-A ST Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Dong-A ST Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:26.91% (-0.80%)

Analysis last updated: Wednesday, May 1, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8081	5.31
$α$	0.1423	4.28
$β$	0.6397	9.30
$γ_{1}$	1.0396	1.96
$γ_{2}$	-1.4144	-1.74
$γ_{3}$	0.4075	0.71
$γ_{4}$	-0.0890	-0.17
$γ_{5}$	0.1837	0.41
$γ_{6}$	-0.5146	-1.32
$γ_{7}$	1.4265	2.84
$γ_{8}$	-2.3278	-2.54

Estimation Period:
Apr 8, 2013 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts