V-Lab: KUMHOE&C Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

KUMHOE&C Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:19.88% (-0.84%)

Analysis last updated: Saturday, May 4, 2024 at 11:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7316	6.97
$α$	0.1739	8.82
$β$	0.7492	29.57
$γ_{1}$	-0.0597	-1.20
$γ_{2}$	0.1750	2.15
$γ_{3}$	-0.2321	-3.46
$γ_{4}$	0.1477	2.36
$γ_{5}$	-0.0033	-0.06
$γ_{6}$	-0.0660	-1.08
$γ_{7}$	0.0312	0.48
$γ_{8}$	0.0440	0.60
$γ_{9}$	-0.1078	-1.25
$γ_{10}$	0.1265	2.02

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts