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

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V-Lab

Sam Yung Trading Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:19.70% (+0.98%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9207	8.18
$α$	0.0925	7.89
$β$	0.8450	40.52
$γ_{1}$	-0.0120	-0.34
$γ_{2}$	0.0412	0.71
$γ_{3}$	-0.1337	-2.44
$γ_{4}$	0.2187	3.37
$γ_{5}$	-0.2122	-3.56
$γ_{6}$	0.1977	4.28
$γ_{7}$	-0.1893	-4.94
$γ_{8}$	0.1149	2.77
$γ_{9}$	-0.0309	-0.41

Estimation Period:
Jan 3, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts