V-Lab: Hankuk Paper MFG Spline-GARCH Volatility Analysis

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V-Lab

Hankuk Paper MFG Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:14.05% (-1.17%)

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
$ω$	0.9711	9.51
$α$	0.1569	8.25
$β$	0.7007	20.84
$γ_{1}$	-0.1115	-1.58
$γ_{2}$	0.0194	0.17
$γ_{3}$	0.2849	2.68
$γ_{4}$	-0.2438	-2.02
$γ_{5}$	-0.0331	-0.29
$γ_{6}$	0.1895	1.74
$γ_{7}$	-0.2823	-2.53
$γ_{8}$	0.3551	3.64
$γ_{9}$	-0.2871	-2.51
$γ_{10}$	0.0044	0.03

Estimation Period:
Jul 3, 1996 to May 14, 2024

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