V-Lab: Korea Electric Power Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Korea Electric Power Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:31.07% (-1.24%)

Analysis last updated: Saturday, May 4, 2024 at 11:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9079	5.90
$α$	0.0868	9.65
$β$	0.8720	65.51
$γ_{1}$	-0.0416	-0.92
$γ_{2}$	0.1437	2.18
$γ_{3}$	-0.2527	-5.55
$γ_{4}$	0.2266	4.96
$γ_{5}$	-0.0788	-1.81
$γ_{6}$	0.0153	0.39
$γ_{7}$	-0.0411	-0.92
$γ_{8}$	0.0599	1.27
$γ_{9}$	-0.0472	-1.48

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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