V-Lab: Samsung SDI Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Samsung SDI Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:45.16% (-1.34%)

Analysis last updated: Tuesday, May 7, 2024 at 10:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8487	5.26
$α$	0.0678	8.17
$β$	0.9008	75.93
$γ_{1}$	0.0429	1.11
$γ_{2}$	-0.0256	-0.46
$γ_{3}$	-0.1042	-2.81
$γ_{4}$	0.1795	5.29
$γ_{5}$	-0.1603	-4.67
$γ_{6}$	0.1238	3.44
$γ_{7}$	-0.1053	-2.96
$γ_{8}$	0.1162	1.69

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts