V-Lab: Daelim Trading Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Daelim Trading Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:29.75% (-6.04%)

Analysis last updated: Thursday, May 16, 2024 at 11:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8058	8.98
$α$	0.2210	4.86
$β$	0.5793	9.70
$γ_{1}$	-0.0542	-1.50
$γ_{2}$	0.1055	1.91
$γ_{3}$	-0.1494	-3.56
$γ_{4}$	0.2049	4.32
$γ_{5}$	-0.2151	-3.12
$γ_{6}$	0.0897	0.87
$γ_{7}$	0.1972	1.49
$γ_{8}$	-0.3486	-2.60
$γ_{9}$	0.3126	3.09
$γ_{10}$	-0.3462	-3.16

Estimation Period:
Jan 3, 1990 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts