V-Lab: Samwonsteel Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Samwonsteel Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:9.42% (-0.80%)

Analysis last updated: Saturday, May 18, 2024 at 12:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2823	3.67
$α$	0.1447	4.51
$β$	0.7235	11.99
$γ_{1}$	-0.7463	-1.17
$γ_{2}$	1.9843	2.16
$γ_{3}$	-2.2127	-3.70
$γ_{4}$	1.3007	2.24
$γ_{5}$	0.1207	0.22
$γ_{6}$	-0.9400	-1.43
$γ_{7}$	1.3674	1.92
$γ_{8}$	-2.0991	-2.82
$γ_{9}$	2.3717	2.70
$γ_{10}$	-3.5224	-2.56

Estimation Period:
Jul 22, 2011 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts