V-Lab: Kukdong Corp Spline-GARCH Volatility Analysis

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V-Lab

Kukdong Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:23.37% (+2.50%)

Analysis last updated: Sunday, May 19, 2024 at 12:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1572	5.87
$α$	0.2203	8.42
$β$	0.6211	16.38
$γ_{1}$	-0.0910	-1.36
$γ_{2}$	0.0944	0.92
$γ_{3}$	0.1654	2.03
$γ_{4}$	-0.3708	-4.81
$γ_{5}$	0.3430	4.89
$γ_{6}$	-0.3083	-4.87
$γ_{7}$	0.3478	5.19
$γ_{8}$	-0.2873	-3.17
$γ_{9}$	0.0357	0.28

Estimation Period:
Dec 25, 1996 to May 17, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts