V-Lab: Jeju Bank Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Jeju Bank Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:69.14% (-1.23%)

Analysis last updated: Saturday, May 11, 2024 at 03:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9850	4.03
$α$	0.1641	10.18
$β$	0.8041	44.10
$γ_{1}$	0.0351	0.45
$γ_{2}$	-0.0001	-0.00
$γ_{3}$	-0.0811	-0.92
$γ_{4}$	-0.0421	-0.39
$γ_{5}$	0.1700	1.41
$γ_{6}$	-0.0786	-0.75
$γ_{7}$	0.0526	0.54
$γ_{8}$	-0.2204	-2.20
$γ_{9}$	0.4341	4.20
$γ_{10}$	-0.4290	-5.37

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

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Volatility Forecasts

Volatility Forecasts