V-Lab: KCTC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

KCTC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:32.33% (+5.20%)

Analysis last updated: Sunday, April 21, 2024 at 12:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6378	4.77
$α$	0.1968	9.04
$β$	0.7412	31.68
$γ_{1}$	-0.0424	-0.77
$γ_{2}$	0.1118	1.35
$γ_{3}$	-0.2005	-3.10
$γ_{4}$	0.2426	3.78
$γ_{5}$	-0.1905	-3.16
$γ_{6}$	0.1009	1.68
$γ_{7}$	0.0029	0.04
$γ_{8}$	-0.0464	-0.70
$γ_{9}$	0.0304	0.75

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

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Volatility Forecasts