V-Lab: Wonlim Corp Spline-GARCH Volatility Analysis

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V-Lab

Wonlim Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:11.66% (-0.28%)

Analysis last updated: Thursday, May 9, 2024 at 11:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8832	7.80
$α$	0.1755	8.41
$β$	0.6745	21.03
$γ_{1}$	-0.0338	-0.68
$γ_{2}$	0.0669	0.79
$γ_{3}$	-0.1332	-2.04
$γ_{4}$	0.1797	3.24
$γ_{5}$	-0.1037	-1.82
$γ_{6}$	0.0361	0.65
$γ_{7}$	-0.0409	-0.78
$γ_{8}$	0.0305	0.53
$γ_{9}$	0.0878	1.27
$γ_{10}$	-0.3510	-3.33

Estimation Period:
Apr 20, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts