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

V-Lab

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V-Lab

Daishin Securities Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:15.73% (-0.17%)

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
$ω$	0.8006	7.66
$α$	0.0846	8.46
$β$	0.8588	48.75
$γ_{1}$	-0.0063	-0.18
$γ_{2}$	0.0989	1.80
$γ_{3}$	-0.2572	-6.57
$γ_{4}$	0.2615	6.98
$γ_{5}$	-0.1544	-3.92
$γ_{6}$	0.0980	2.44
$γ_{7}$	-0.0393	-0.94
$γ_{8}$	0.0121	0.24
$γ_{9}$	-0.1313	-1.56

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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