V-Lab: Shin Poong Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shin Poong Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:66.13% (+22.00%)

Analysis last updated: Saturday, May 4, 2024 at 11:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5825	6.19
$α$	0.1655	9.11
$β$	0.7452	29.08
$γ_{1}$	-0.0179	-0.45
$γ_{2}$	0.0514	0.84
$γ_{3}$	-0.1413	-2.94
$γ_{4}$	0.2149	4.18
$γ_{5}$	-0.2058	-4.22
$γ_{6}$	0.1669	3.36
$γ_{7}$	-0.0598	-1.05
$γ_{8}$	-0.0322	-0.57
$γ_{9}$	0.0247	0.52

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts