V-Lab: GS Retail Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

GS Retail Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:17.06% (-0.28%)

Analysis last updated: Saturday, May 11, 2024 at 03:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2153	4.06
$α$	0.0380	2.37
$β$	0.8906	10.62
$γ_{1}$	-0.2054	-0.45
$γ_{2}$	0.8482	1.24
$γ_{3}$	-1.6043	-3.55
$γ_{4}$	1.8940	5.41
$γ_{5}$	-1.6970	-4.95
$γ_{6}$	1.2156	3.16
$γ_{7}$	-0.6345	-1.55
$γ_{8}$	0.4046	0.72
$γ_{9}$	-0.9064	-1.18

Estimation Period:
Dec 23, 2011 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts