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

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V-Lab

YuHwa Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:11.65% (+2.66%)

Analysis last updated: Saturday, May 11, 2024 at 03:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1447	7.83
$α$	0.1855	6.65
$β$	0.6848	18.09
$γ_{1}$	0.0068	0.19
$γ_{2}$	0.0700	1.26
$γ_{3}$	-0.2410	-4.78
$γ_{4}$	0.2893	4.78
$γ_{5}$	-0.1721	-2.98
$γ_{6}$	0.0100	0.18
$γ_{7}$	0.0841	1.82
$γ_{8}$	-0.0033	-0.09
$γ_{9}$	-0.1593	-2.47

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts