V-Lab: CJ Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CJ Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:58.46% (+5.57%)

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
$ω$	0.7489	6.20
$α$	0.0787	6.66
$β$	0.8753	38.81
$γ_{1}$	-0.0096	-0.23
$γ_{2}$	0.0861	1.39
$γ_{3}$	-0.2230	-4.76
$γ_{4}$	0.2578	5.59
$γ_{5}$	-0.1724	-3.81
$γ_{6}$	0.1020	2.50
$γ_{7}$	-0.0737	-1.81
$γ_{8}$	0.0428	1.03
$γ_{9}$	0.1040	2.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts