V-Lab: Kum Yang Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Kum Yang Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:65.82% (+2.64%)

Analysis last updated: Saturday, May 4, 2024 at 11:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6408	5.96
$α$	0.1239	7.41
$β$	0.8046	31.39
$γ_{1}$	-0.0244	-0.46
$γ_{2}$	0.0569	0.73
$γ_{3}$	-0.0329	-0.55
$γ_{4}$	-0.0675	-1.02
$γ_{5}$	0.0843	1.40
$γ_{6}$	-0.0015	-0.02
$γ_{7}$	0.0152	0.17
$γ_{8}$	-0.1065	-1.02
$γ_{9}$	0.2026	2.33
$γ_{10}$	-0.2009	-3.81

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts