V-Lab: Daelim B&Co Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Daelim B&Co Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:18.62% (+2.96%)

Analysis last updated: Saturday, May 11, 2024 at 03:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8172	6.99
$α$	0.1362	9.98
$β$	0.7975	42.06
$γ_{1}$	0.1162	2.36
$γ_{2}$	-0.2323	-2.88
$γ_{3}$	0.1007	1.50
$γ_{4}$	0.0710	0.98
$γ_{5}$	-0.0752	-0.95
$γ_{6}$	0.0949	1.38
$γ_{7}$	-0.2256	-3.73
$γ_{8}$	0.2999	4.24
$γ_{9}$	-0.3638	-3.30

Estimation Period:
Dec 23, 1992 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts