V-Lab: AMOREPACIFIC Group Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AMOREPACIFIC Group Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:48.67% (-1.74%)

Analysis last updated: Friday, May 3, 2024 at 10:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7724	8.73
$α$	0.0786	6.95
$β$	0.8294	31.37
$γ_{1}$	0.0126	0.51
$γ_{2}$	-0.0039	-0.10
$γ_{3}$	-0.0582	-1.91
$γ_{4}$	0.0847	2.87
$γ_{5}$	-0.0609	-2.25
$γ_{6}$	0.0714	2.63
$γ_{7}$	-0.0975	-3.44
$γ_{8}$	0.1207	3.20

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts