V-Lab: GMB Korea Corp Spline-GARCH Volatility Analysis

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V-Lab

GMB Korea Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:27.01% (+0.41%)

Analysis last updated: Thursday, May 9, 2024 at 11:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4836	3.49
$α$	0.1182	3.59
$β$	0.6651	8.17
$γ_{1}$	-2.0393	-2.63
$γ_{2}$	2.9107	2.70
$γ_{3}$	-1.3179	-1.97
$γ_{4}$	1.6206	2.20
$γ_{5}$	-2.6364	-3.02
$γ_{6}$	2.4288	2.82
$γ_{7}$	-1.9596	-2.64
$γ_{8}$	1.7331	2.93
$γ_{9}$	-1.3474	-1.84
$γ_{10}$	1.5738	1.35

Estimation Period:
Nov 20, 2012 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts