V-Lab: Bohae Brewery Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bohae Brewery Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:14.78% (-0.41%)

Analysis last updated: Saturday, April 27, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9796	4.26
$α$	0.1322	9.05
$β$	0.8464	54.31
$γ_{1}$	0.0101	0.28
$γ_{2}$	-0.0236	-0.45
$γ_{3}$	0.0050	0.14
$γ_{4}$	-0.0238	-0.72
$γ_{5}$	0.1257	3.15
$γ_{6}$	-0.1945	-3.90
$γ_{7}$	0.1476	3.70

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts