V-Lab: Hanssem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Hanssem Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:45.68% (+10.64%)

Analysis last updated: Tuesday, April 30, 2024 at 09:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9695	7.22
$α$	0.1088	3.77
$β$	0.5297	5.09
$γ_{1}$	0.1622	1.93
$γ_{2}$	-0.1176	-0.93
$γ_{3}$	-0.0999	-1.19
$γ_{4}$	0.1404	1.87
$γ_{5}$	-0.1827	-2.45
$γ_{6}$	0.1818	2.53
$γ_{7}$	-0.1711	-2.74
$γ_{8}$	0.1300	2.67

Estimation Period:
Jul 23, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts