V-Lab: Korea Development Corp MF2-GARCH Volatility Analysis

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V-Lab

Korea Development Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 29th, 2020:49.03% (-2.81%)

Analysis last updated: Sunday, March 21, 2021 at 05:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.1198	23.77
$β$	0.7751	96.41
$γ$	-0.0061	-0.79
$λ_{1}$	1.1533	3.21
$λ_{2}$	0.8968	7.93
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 3, 1990 to Jun 26, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts