V-Lab: SK Securities Co Ltd MF2-GARCH Volatility Analysis

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V-Lab

SK Securities Co Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:16.56% (-0.29%)

Analysis last updated: Saturday, May 11, 2024 at 03:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1695	24.55
$β$	0.6921	49.33
$γ$	0.0305	2.89
$λ_{1}$	0.0687	3.71
$λ_{2}$	0.0461	6.52
$λ_{3}$	0.9492	118.25

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts