V-Lab: Dohwa Engineering Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Dohwa Engineering Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:7.79% (-0.55%)

Analysis last updated: Sunday, May 19, 2024 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9642	3.01
$α$	0.1503	3.58
$β$	0.7711	14.73
$γ_{1}$	1.1795	1.62
$γ_{2}$	-1.9757	-1.64
$γ_{3}$	1.3358	1.39
$γ_{4}$	-1.4022	-1.44
$γ_{5}$	2.3208	2.73
$γ_{6}$	-3.0589	-5.20
$γ_{7}$	2.4930	4.57
$γ_{8}$	-0.8596	-1.70
$γ_{9}$	-1.4992	-2.73

Estimation Period:
Aug 12, 2010 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts