V-Lab: Green Cross Corp/South Korea Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Green Cross Corp/South Korea Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.56% (-1.17%)

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
$ω$	0.8718	5.36
$α$	0.1283	9.60
$β$	0.8162	43.56
$γ_{1}$	-0.0084	-0.19
$γ_{2}$	0.0692	1.08
$γ_{3}$	-0.1798	-3.45
$γ_{4}$	0.1587	2.50
$γ_{5}$	-0.0031	-0.05
$γ_{6}$	-0.0990	-2.11
$γ_{7}$	0.1629	3.35
$γ_{8}$	-0.1787	-3.50
$γ_{9}$	0.1010	2.65

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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