V-Lab: YuHwa Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

YuHwa Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:14.65% (-0.58%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1629	7.60
$α$	0.1833	6.41
$β$	0.6974	17.79
$γ_{1}$	0.0157	0.44
$γ_{2}$	0.0530	0.93
$γ_{3}$	-0.2250	-4.35
$γ_{4}$	0.2743	4.44
$γ_{5}$	-0.1592	-2.70
$γ_{6}$	-0.0034	-0.06
$γ_{7}$	0.1064	2.26
$γ_{8}$	-0.0524	-1.51
$γ_{9}$	-0.0243	-1.05

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

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