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

V-Lab

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V-Lab

Korea Development Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 29th, 2020:45.87% (-3.18%)

Analysis last updated: Saturday, June 27, 2020 at 03:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5728	7.17
$α$	0.1317	8.90
$β$	0.7832	32.52
$γ_{1}$	0.1147	0.99
$γ_{2}$	-0.0361	-0.17
$γ_{3}$	-0.2079	-1.28
$γ_{4}$	0.0329	0.34
$γ_{5}$	0.2924	4.40
$γ_{6}$	-0.3158	-5.08
$γ_{7}$	0.1670	2.24
$γ_{8}$	-0.0322	-0.32
$γ_{9}$	-0.1162	-0.95
$γ_{10}$	0.2720	1.50

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts