V-Lab: Daechang Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Daechang Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:44.48% (-0.64%)

Analysis last updated: Saturday, May 11, 2024 at 03:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8802	8.91
$α$	0.1059	8.57
$β$	0.8268	41.73
$γ_{1}$	0.0528	3.30
$γ_{2}$	-0.1171	-4.52
$γ_{3}$	0.1280	6.40
$γ_{4}$	-0.1172	-4.80
$γ_{5}$	0.1020	2.74
$γ_{6}$	-0.1155	-1.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts