V-Lab: Hotel Shilla Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Hotel Shilla Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:28.86% (-0.53%)

Analysis last updated: Thursday, May 16, 2024 at 11:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8031	6.19
$α$	0.0658	8.37
$β$	0.8841	57.23
$γ_{1}$	-0.0040	-0.10
$γ_{2}$	0.0449	0.73
$γ_{3}$	-0.1596	-3.75
$γ_{4}$	0.2462	5.71
$γ_{5}$	-0.2121	-4.45
$γ_{6}$	0.1286	2.79
$γ_{7}$	-0.0509	-1.05
$γ_{8}$	-0.0324	-0.60
$γ_{9}$	0.1109	1.70

Estimation Period:
Mar 12, 1991 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts