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

V-Lab

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V-Lab

Daegu Department Store Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:61.19% (+32.18%)

Analysis last updated: Saturday, May 11, 2024 at 03:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8488	4.78
$α$	0.0871	9.45
$β$	0.8877	72.51
$γ_{1}$	0.0074	0.18
$γ_{2}$	0.0406	0.69
$γ_{3}$	-0.1706	-4.05
$γ_{4}$	0.1840	4.45
$γ_{5}$	-0.0442	-0.95
$γ_{6}$	-0.0654	-0.93
$γ_{7}$	0.1694	2.01
$γ_{8}$	-0.3541	-2.44

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts