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, May 7th, 2024:37.96% (-0.93%)

Analysis last updated: Saturday, May 4, 2024 at 11:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7728	5.86
$α$	0.0789	6.95
$β$	0.8816	43.96
$γ_{1}$	-0.0089	-0.20
$γ_{2}$	0.0881	1.27
$γ_{3}$	-0.2239	-4.19
$γ_{4}$	0.2430	4.61
$γ_{5}$	-0.1445	-2.76
$γ_{6}$	0.0812	1.74
$γ_{7}$	-0.0721	-1.62
$γ_{8}$	0.0694	1.63
$γ_{9}$	-0.0426	-1.37

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts