V-Lab: TAEKYUNG BK Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

TAEKYUNG BK Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:31.88% (-1.60%)

Analysis last updated: Friday, May 3, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2536	5.71
$α$	0.1725	8.44
$β$	0.7703	33.54
$γ_{1}$	0.0405	0.55
$γ_{2}$	-0.0018	-0.02
$γ_{3}$	-0.2140	-2.68
$γ_{4}$	0.3075	4.43
$γ_{5}$	-0.1327	-1.95
$γ_{6}$	-0.0864	-0.91
$γ_{7}$	0.1834	1.76
$γ_{8}$	-0.0193	-0.18
$γ_{9}$	-0.2051	-1.31
$γ_{10}$	0.1183	0.67

Estimation Period:
Jan 6, 1992 to Apr 30, 2024

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