V-Lab
SK Hynix Inc EGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
90.97%
decreased by 3.34%
1 Week
90.96%
decreased by 3.35%
1 Month
90.93%
decreased by 3.38%
Analysis last updated: Friday, September 11, 2026 at 08:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 26, 1996 to Sep 4, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 172 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 53% more than positive returns
σ
EGARCH Model
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High persistence: persistence 0.996, shock half-life ~172 daysLeverage: Negative returns increase volatility 53% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0140 | 3.12*** |
| αARCH | 0.0935 | 9.83*** |
| βGARCH | 0.9960 | 808.42*** |
| γleverage | -0.0196 | -2.12** |
0.996
Persistence172d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0140 | 3.12*** |
α ARCH Response to squared shocks | 0.0935 | 9.83*** |
β GARCH Volatility persistence | 0.9960 | 808.42*** |
γ leverage Additional response to negative shocks | -0.0196 | -2.12** |
Persistence:
0.996
Half-life:
172 days
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