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

V-Lab

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V-Lab

Moorim P&P Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:9.45% (-0.03%)

Analysis last updated: Saturday, May 11, 2024 at 03:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6040	6.41
$α$	0.1551	9.63
$β$	0.6978	24.02
$γ_{1}$	-0.1016	-2.55
$γ_{2}$	0.2220	3.85
$γ_{3}$	-0.2955	-6.28
$γ_{4}$	0.2707	5.34
$γ_{5}$	-0.1180	-2.24
$γ_{6}$	-0.0153	-0.31
$γ_{7}$	0.1123	2.41
$γ_{8}$	-0.0693	-1.27
$γ_{9}$	-0.2372	-3.34

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts