V-Lab: Moorim P&P Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Moorim P&P Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:18.53% (-0.28%)

Analysis last updated: Saturday, April 27, 2024 at 11:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6413	6.17
$α$	0.1450	9.55
$β$	0.7481	30.09
$γ_{1}$	-0.0824	-1.92
$γ_{2}$	0.1901	3.01
$γ_{3}$	-0.2693	-5.05
$γ_{4}$	0.2434	4.31
$γ_{5}$	-0.0905	-1.54
$γ_{6}$	-0.0530	-0.96
$γ_{7}$	0.1860	3.76
$γ_{8}$	-0.2244	-4.49
$γ_{9}$	0.1395	3.74

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts