V-Lab: Dongwha Pharm Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Dongwha Pharm Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:11.55% (+0.07%)

Analysis last updated: Thursday, May 9, 2024 at 11:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7725	6.28
$α$	0.1342	10.52
$β$	0.8244	48.05
$γ_{1}$	-0.0404	-0.92
$γ_{2}$	0.1210	1.76
$γ_{3}$	-0.2474	-4.56
$γ_{4}$	0.3195	5.73
$γ_{5}$	-0.2608	-5.05
$γ_{6}$	0.1807	3.54
$γ_{7}$	-0.1060	-1.83
$γ_{8}$	0.0857	1.52
$γ_{9}$	-0.2786	-3.04

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts