V-Lab: Hanyang Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Hanyang Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:15.95% (-0.28%)

Analysis last updated: Tuesday, May 7, 2024 at 10:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0629	7.24
$α$	0.1037	7.15
$β$	0.8518	39.03
$γ_{1}$	0.0547	1.32
$γ_{2}$	0.0048	0.07
$γ_{3}$	-0.2224	-4.66
$γ_{4}$	0.3042	6.30
$γ_{5}$	-0.2545	-4.36
$γ_{6}$	0.1422	2.13
$γ_{7}$	0.0285	0.47
$γ_{8}$	-0.0712	-1.36
$γ_{9}$	0.0036	0.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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