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

V-Lab

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V-Lab

Firstec Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:40.31% (-0.82%)

Analysis last updated: Saturday, May 4, 2024 at 11:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6038	4.42
$α$	0.1822	10.33
$β$	0.7688	34.42
$γ_{1}$	-0.0545	-0.89
$γ_{2}$	0.1660	1.93
$γ_{3}$	-0.2787	-5.64
$γ_{4}$	0.2780	5.84
$γ_{5}$	-0.1822	-3.64
$γ_{6}$	0.1031	1.82
$γ_{7}$	-0.0227	-0.32
$γ_{8}$	-0.0062	-0.09
$γ_{9}$	-0.0120	-0.27

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts