V-Lab: KCTC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

KCTC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:20.52% (-1.31%)

Analysis last updated: Thursday, May 9, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5732	5.03
$α$	0.1974	9.37
$β$	0.7216	28.29
$γ_{1}$	-0.0554	-1.06
$γ_{2}$	0.1333	1.72
$γ_{3}$	-0.2199	-3.70
$γ_{4}$	0.2638	4.41
$γ_{5}$	-0.2126	-3.77
$γ_{6}$	0.1353	2.42
$γ_{7}$	-0.0663	-1.04
$γ_{8}$	0.1049	1.46
$γ_{9}$	-0.3561	-2.83

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts