V-Lab: Korea Electric Power Corp MF2-GARCH Volatility Analysis

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V-Lab

Korea Electric Power Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:43.30% (-5.21%)

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
$m$	21
$α$	0.1294	27.69
$β$	0.6603	37.48
$γ$	-0.0015	-0.24
$λ_{1}$	0.0541	3.26
$λ_{2}$	0.0603	4.04
$λ_{3}$	0.9284	52.93

Estimation Period:
Jan 3, 1990 to May 14, 2024

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Impact of return on volatility tomorrow

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