V-Lab: Hanwha Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Hanwha Investment & Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:47.40% (-1.20%)

Analysis last updated: Thursday, May 16, 2024 at 11:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8685	6.64
$α$	0.0901	8.51
$β$	0.8730	60.63
$γ_{1}$	0.0225	0.51
$γ_{2}$	0.0580	0.84
$γ_{3}$	-0.2367	-4.70
$γ_{4}$	0.2688	5.59
$γ_{5}$	-0.1898	-3.86
$γ_{6}$	0.1125	2.32
$γ_{7}$	-0.0233	-0.50
$γ_{8}$	-0.0126	-0.23
$γ_{9}$	0.0508	0.37

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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