V-Lab: Duksung Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Duksung Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:97.74% (-1.96%)

Analysis last updated: Thursday, May 9, 2024 at 12:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9177	4.59
$α$	0.1253	8.92
$β$	0.8578	60.31
$γ_{1}$	0.0318	0.56
$γ_{2}$	-0.0658	-0.60
$γ_{3}$	0.0514	0.47
$γ_{4}$	-0.0752	-0.84
$γ_{5}$	0.1435	1.84
$γ_{6}$	-0.1954	-2.52
$γ_{7}$	0.2324	3.33
$γ_{8}$	-0.2768	-3.05
$γ_{9}$	0.5458	2.06

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts