V-Lab: KCTC MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

KCTC MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:31.65% (+2.93%)

Analysis last updated: Thursday, May 9, 2024 at 12:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.2002	32.45
$β$	0.6952	97.11
$γ$	-0.0361	-4.06
$λ_{1}$	1.8361	0.72
$λ_{2}$	0.8576	0.68
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts