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

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V-Lab

Shinyoung Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:14.43% (-0.66%)

Analysis last updated: Thursday, May 16, 2024 at 11:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0847	7.87
$α$	0.1216	9.45
$β$	0.7888	36.95
$γ_{1}$	-0.0150	-0.34
$γ_{2}$	0.1142	1.69
$γ_{3}$	-0.2587	-4.91
$γ_{4}$	0.1920	3.38
$γ_{5}$	0.0667	1.04
$γ_{6}$	-0.2402	-3.15
$γ_{7}$	0.2586	3.36
$γ_{8}$	-0.1751	-2.82
$γ_{9}$	0.0771	1.21
$γ_{10}$	-0.0044	-0.04

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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