V-Lab: Kangnam Jevisco Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Kangnam Jevisco Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:37.25% (-5.13%)

Analysis last updated: Thursday, May 16, 2024 at 11:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8437	6.93
$α$	0.1502	8.48
$β$	0.7464	26.81
$γ_{1}$	0.0336	0.97
$γ_{2}$	-0.0583	-1.12
$γ_{3}$	-0.0251	-0.61
$γ_{4}$	0.1102	2.54
$γ_{5}$	-0.1277	-3.30
$γ_{6}$	0.1634	4.66
$γ_{7}$	-0.2096	-5.44
$γ_{8}$	0.2432	5.74
$γ_{9}$	-0.2845	-4.81

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts