V-Lab: Sajo Industries Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Sajo Industries Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:10.72% (-0.45%)

Analysis last updated: Saturday, May 11, 2024 at 03:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7388	5.54
$α$	0.1558	9.96
$β$	0.7835	36.76
$γ_{1}$	-0.0532	-1.24
$γ_{2}$	0.1241	1.97
$γ_{3}$	-0.1862	-4.04
$γ_{4}$	0.1995	4.19
$γ_{5}$	-0.1440	-3.11
$γ_{6}$	0.1088	2.10
$γ_{7}$	-0.1004	-1.65
$γ_{8}$	0.1317	2.30
$γ_{9}$	-0.2774	-3.03

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts