V-Lab: Sam Yung Trading Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Sam Yung Trading Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:15.23% (+0.14%)

Analysis last updated: Wednesday, May 1, 2024 at 10:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9411	8.40
$α$	0.0909	7.80
$β$	0.8485	40.69
$γ_{1}$	-0.0045	-0.13
$γ_{2}$	0.0283	0.49
$γ_{3}$	-0.1225	-2.22
$γ_{4}$	0.2071	3.20
$γ_{5}$	-0.2010	-3.38
$γ_{6}$	0.1873	4.02
$γ_{7}$	-0.1768	-4.53
$γ_{8}$	0.0934	2.38
$γ_{9}$	0.0163	0.57

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts