V-Lab: TS Corp/Korea Spline-GARCH Volatility Analysis

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V-Lab

TS Corp/Korea Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:18.53% (-0.49%)

Analysis last updated: Thursday, May 16, 2024 at 11:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8989	6.90
$α$	0.1217	8.84
$β$	0.8093	34.41
$γ_{1}$	0.0239	0.61
$γ_{2}$	-0.0048	-0.08
$γ_{3}$	-0.1406	-3.07
$γ_{4}$	0.2670	5.37
$γ_{5}$	-0.2366	-4.94
$γ_{6}$	0.1238	2.36
$γ_{7}$	-0.0602	-1.05
$γ_{8}$	0.1279	1.62
$γ_{9}$	-0.2975	-2.28

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts