V-Lab: Chonbang Co Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Chonbang Co Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:24.84% (+1.47%)

Analysis last updated: Tuesday, November 12, 2024 at 09:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7447	7.73
$α$	0.1724	8.27
$β$	0.7505	24.89
$γ_{1}$	0.0049	0.66
$γ_{2}$	-0.0233	-1.88
$γ_{3}$	0.0338	2.67
$γ_{4}$	-0.0366	-1.88

Estimation Period:
Jan 3, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts