V-Lab: Sajodaerim Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sajodaerim Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:34.77% (-0.85%)

Analysis last updated: Saturday, May 4, 2024 at 11:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5963	5.68
$α$	0.2038	11.13
$β$	0.6692	25.47
$γ_{1}$	-0.0897	-1.57
$γ_{2}$	0.1711	2.07
$γ_{3}$	-0.1786	-3.31
$γ_{4}$	0.1669	3.17
$γ_{5}$	-0.1706	-2.95
$γ_{6}$	0.1407	2.34
$γ_{7}$	0.0331	0.64
$γ_{8}$	-0.1565	-3.38
$γ_{9}$	0.1406	3.10
$γ_{10}$	-0.0768	-2.41

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts