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

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V-Lab

Korea Electric Power Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:42.24% (-2.47%)

Analysis last updated: Thursday, May 16, 2024 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8738	5.57
$α$	0.0875	9.74
$β$	0.8712	65.52
$γ_{1}$	-0.0595	-1.29
$γ_{2}$	0.1732	2.61
$γ_{3}$	-0.2745	-6.08
$γ_{4}$	0.2468	5.38
$γ_{5}$	-0.0969	-2.20
$γ_{6}$	0.0302	0.77
$γ_{7}$	-0.0553	-1.22
$γ_{8}$	0.0801	1.52
$γ_{9}$	-0.0887	-1.16

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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