V-Lab: MonAmi Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

MonAmi Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:21.13% (-0.94%)

Analysis last updated: Thursday, May 2, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3411	3.74
$α$	0.1070	10.75
$β$	0.8900	86.74
$γ_{1}$	-0.0413	-0.28
$γ_{2}$	0.0684	0.32
$γ_{3}$	-0.0917	-0.66
$γ_{4}$	0.0710	0.55
$γ_{5}$	0.0691	0.44
$γ_{6}$	-0.2405	-1.37
$γ_{7}$	-0.0621	-0.25
$γ_{8}$	1.1066	2.04
$γ_{9}$	-1.5891	-2.52
$γ_{10}$	0.8784	2.64

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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