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

V-Lab

| |

V-Lab

SM Bexel Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:7.48% (-2.24%)

Analysis last updated: Thursday, May 16, 2024 at 11:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	6.3200	3.96
$α$	0.4078	60.50
$β$	0.5917	86.33
$γ_{1}$	-0.1150	-0.98
$γ_{2}$	0.0023	0.01
$γ_{3}$	0.1752	1.59
$γ_{4}$	-0.1125	-1.06
$γ_{5}$	0.1440	1.39
$γ_{6}$	-0.2852	-2.35
$γ_{7}$	0.6611	3.52
$γ_{8}$	-6.0709	-14.85
$γ_{9}$	18.9054	15.69
$γ_{10}$	-35.8338	-8.25

Estimation Period:
Dec 27, 1994 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts