V-Lab: Heungkuk Fire & Marine Insurance Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Heungkuk Fire & Marine Insurance Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:30.36% (-1.41%)

Analysis last updated: Saturday, May 11, 2024 at 03:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9740	5.05
$α$	0.1777	8.08
$β$	0.7623	33.86
$γ_{1}$	0.0412	1.17
$γ_{2}$	-0.0446	-0.91
$γ_{3}$	-0.0344	-1.05
$γ_{4}$	0.0323	0.87
$γ_{5}$	0.0067	0.17
$γ_{6}$	0.0061	0.14
$γ_{7}$	0.0708	1.24
$γ_{8}$	-0.2577	-2.13

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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