V-Lab: CJ Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CJ Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:46.31% (+7.08%)

Analysis last updated: Tuesday, November 12, 2024 at 09:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7663	5.86
$α$	0.0762	7.16
$β$	0.8852	46.96
$γ_{1}$	-0.0049	-0.11
$γ_{2}$	0.0772	1.17
$γ_{3}$	-0.2134	-4.20
$γ_{4}$	0.2463	4.93
$γ_{5}$	-0.1631	-3.32
$γ_{6}$	0.1033	2.33
$γ_{7}$	-0.0956	-2.19
$γ_{8}$	0.1042	2.31
$γ_{9}$	-0.0776	-2.23

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts