V-Lab: Sangsangin Investment & Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sangsangin Investment & Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:16.50% (-0.02%)

Analysis last updated: Saturday, May 18, 2024 at 12:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8353	6.65
$α$	0.2060	7.03
$β$	0.6934	19.97
$γ_{1}$	-0.0056	-0.14
$γ_{2}$	0.1164	1.91
$γ_{3}$	-0.3055	-6.79
$γ_{4}$	0.3576	7.83
$γ_{5}$	-0.2691	-5.59
$γ_{6}$	0.1438	2.86
$γ_{7}$	0.0255	0.39
$γ_{8}$	-0.2228	-2.48
$γ_{9}$	0.2605	3.42

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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