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

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V-Lab

Shin Poong Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:35.60% (-3.58%)

Analysis last updated: Thursday, May 16, 2024 at 11:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5286	5.39
$α$	0.1695	9.49
$β$	0.7281	28.47
$γ_{1}$	-0.0722	-1.31
$γ_{2}$	0.1422	1.76
$γ_{3}$	-0.1816	-3.50
$γ_{4}$	0.1514	2.54
$γ_{5}$	-0.0007	-0.01
$γ_{6}$	-0.1560	-1.92
$γ_{7}$	0.2735	3.79
$γ_{8}$	-0.2449	-3.22
$γ_{9}$	0.1488	2.08
$γ_{10}$	-0.2061	-1.62

Estimation Period:
Jan 3, 1990 to May 14, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts