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

V-Lab

| |

V-Lab

SM Bexel Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:94.61% (-0.54%)

Analysis last updated: Wednesday, May 1, 2024 at 10:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7649	3.10
$α$	0.1386	12.45
$β$	0.8413	33.76
$γ_{1}$	-0.0032	-0.03
$γ_{2}$	-0.1109	-0.57
$γ_{3}$	0.1465	1.01
$γ_{4}$	-0.0611	-0.44
$γ_{5}$	0.1040	0.77
$γ_{6}$	-0.2101	-1.52
$γ_{7}$	0.4167	3.13
$γ_{8}$	-0.8212	-5.45
$γ_{9}$	1.2357	7.30
$γ_{10}$	-1.0413	-9.86

Estimation Period:
Dec 27, 1994 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts