V-Lab: Bookook Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bookook Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:19.93% (-1.88%)

Analysis last updated: Thursday, May 2, 2024 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1519	7.23
$α$	0.1654	9.18
$β$	0.7452	28.62
$γ_{1}$	0.0265	0.71
$γ_{2}$	0.0369	0.62
$γ_{3}$	-0.2045	-4.33
$γ_{4}$	0.2420	4.98
$γ_{5}$	-0.1605	-3.27
$γ_{6}$	0.0803	1.68
$γ_{7}$	-0.0125	-0.26
$γ_{8}$	-0.0023	-0.05
$γ_{9}$	-0.0061	-0.18

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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