V-Lab: Kyung Nong Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Kyung Nong Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:25.45% (-0.13%)

Analysis last updated: Tuesday, April 30, 2024 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9951	6.69
$α$	0.1483	7.97
$β$	0.8012	38.56
$γ_{1}$	-0.0040	-0.09
$γ_{2}$	0.0600	0.89
$γ_{3}$	-0.1806	-3.52
$γ_{4}$	0.2482	4.94
$γ_{5}$	-0.2448	-3.97
$γ_{6}$	0.1921	2.52
$γ_{7}$	-0.0210	-0.24
$γ_{8}$	-0.1128	-1.12
$γ_{9}$	0.0741	0.88

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts