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

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V-Lab

SK Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:13.42% (-0.26%)

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
$ω$	0.8729	6.82
$α$	0.1590	7.10
$β$	0.7639	23.29
$γ_{1}$	-0.0276	-0.56
$γ_{2}$	0.1515	1.98
$γ_{3}$	-0.2613	-4.57
$γ_{4}$	0.1626	2.91
$γ_{5}$	0.0143	0.23
$γ_{6}$	-0.1296	-1.89
$γ_{7}$	0.1780	2.34
$γ_{8}$	-0.0990	-1.03
$γ_{9}$	-0.0156	-0.15
$γ_{10}$	-0.0418	-0.40

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

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Volatility Forecasts

Volatility Forecasts