V-Lab: Dongbu Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Dongbu Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:15.42% (-0.29%)

Analysis last updated: Saturday, May 18, 2024 at 12:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6939	5.89
$α$	0.1491	8.14
$β$	0.7736	30.68
$γ_{1}$	-0.0566	-1.41
$γ_{2}$	0.1539	2.70
$γ_{3}$	-0.2703	-7.11
$γ_{4}$	0.3363	8.48
$γ_{5}$	-0.3099	-7.31
$γ_{6}$	0.3086	6.67
$γ_{7}$	-0.3046	-5.65
$γ_{8}$	0.1964	3.76
$γ_{9}$	-0.0884	-1.41

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts