V-Lab: e-Corea Real Estate Investment Trusts Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

e-Corea Real Estate Investment Trusts Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 16th, 2015:413.60% (+99.88%)

Analysis last updated: Friday, January 29, 2016 at 03:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0974	4.07
$α$	0.3022	4.57
$β$	0.2739	2.23
$γ_{1}$	-1.2180	-1.14
$γ_{2}$	1.0662	0.66
$γ_{3}$	1.3469	1.04
$γ_{4}$	1.0776	0.53

Estimation Period:
Mar 10, 2011 to Sep 11, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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