V-Lab: Daegu Department Store Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Daegu Department Store Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:43.26% (+0.68%)

Analysis last updated: Saturday, April 27, 2024 at 11:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8679	4.69
$α$	0.0845	8.90
$β$	0.8929	68.41
$γ_{1}$	0.0113	0.27
$γ_{2}$	0.0346	0.57
$γ_{3}$	-0.1675	-3.79
$γ_{4}$	0.1847	4.26
$γ_{5}$	-0.0542	-1.12
$γ_{6}$	-0.0367	-0.50
$γ_{7}$	0.0950	1.21
$γ_{8}$	-0.1107	-2.32

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts