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

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V-Lab

CITECH Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:35.53% (-0.36%)

Analysis last updated: Thursday, May 9, 2024 at 11:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5838	7.78
$α$	0.1700	10.78
$β$	0.7393	30.55
$γ_{1}$	-0.0654	-1.84
$γ_{2}$	0.1151	2.15
$γ_{3}$	-0.1216	-3.06
$γ_{4}$	0.1172	2.78
$γ_{5}$	-0.0404	-0.94
$γ_{6}$	-0.0454	-0.95
$γ_{7}$	0.0428	0.89
$γ_{8}$	0.0638	1.34
$γ_{9}$	-0.1712	-2.09

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts