V-Lab: Sajodaerim Corp Spline-GARCH Volatility Analysis

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V-Lab

Sajodaerim Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:33.32% (-3.73%)

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
$ω$	0.5756	5.47
$α$	0.2057	11.11
$β$	0.6634	24.96
$γ_{1}$	-0.1166	-2.02
$γ_{2}$	0.2189	2.63
$γ_{3}$	-0.2178	-4.04
$γ_{4}$	0.1986	3.79
$γ_{5}$	-0.1917	-3.35
$γ_{6}$	0.1518	2.57
$γ_{7}$	0.0318	0.62
$γ_{8}$	-0.1687	-3.51
$γ_{9}$	0.1740	2.96
$γ_{10}$	-0.1611	-1.49

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

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Volatility Forecasts

Volatility Forecasts