V-Lab: Pang Rim Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Pang Rim Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:40.57% (+0.13%)

Analysis last updated: Thursday, May 9, 2024 at 12:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8539	6.82
$α$	0.1691	6.77
$β$	0.7625	21.25
$γ_{1}$	-0.0113	-0.31
$γ_{2}$	0.0644	1.16
$γ_{3}$	-0.1506	-3.45
$γ_{4}$	0.1527	3.32
$γ_{5}$	-0.1067	-2.24
$γ_{6}$	0.0972	1.91
$γ_{7}$	-0.0741	-1.39
$γ_{8}$	0.1433	2.48
$γ_{9}$	-0.2353	-3.36

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts