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

V-Lab

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V-Lab

Hanyang Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:10.35% (-0.36%)

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
$ω$	0.9996	7.82
$α$	0.1139	7.62
$β$	0.8199	36.61
$γ_{1}$	0.0415	1.13
$γ_{2}$	0.0280	0.49
$γ_{3}$	-0.2440	-5.90
$γ_{4}$	0.3301	7.79
$γ_{5}$	-0.2852	-5.57
$γ_{6}$	0.1772	3.02
$γ_{7}$	-0.0185	-0.34
$γ_{8}$	0.0266	0.47
$γ_{9}$	-0.2581	-1.91

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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