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

V-Lab

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V-Lab

Sangsangin Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:20.11% (-0.03%)

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
$ω$	0.8163	6.49
$α$	0.2033	7.19
$β$	0.6984	20.56
$γ_{1}$	-0.0212	-0.52
$γ_{2}$	0.1447	2.34
$γ_{3}$	-0.3303	-7.27
$γ_{4}$	0.3794	8.27
$γ_{5}$	-0.2836	-5.84
$γ_{6}$	0.1470	2.81
$γ_{7}$	0.0360	0.49
$γ_{8}$	-0.2566	-2.24
$γ_{9}$	0.3621	2.37

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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