V-Lab: Samsung E&A Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Samsung E&A Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:39.25% (-1.19%)

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
$ω$	0.7212	6.64
$α$	0.0722	6.56
$β$	0.8732	48.70
$γ_{1}$	-0.2393	-4.18
$γ_{2}$	0.3030	3.43
$γ_{3}$	-0.0273	-0.46
$γ_{4}$	-0.1114	-2.27
$γ_{5}$	0.1737	3.65
$γ_{6}$	-0.1980	-3.63
$γ_{7}$	0.1640	2.81
$γ_{8}$	-0.0829	-2.00

Estimation Period:
Dec 25, 1996 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts