V-Lab: Kyobo Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Kyobo Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:18.20% (-0.78%)

Analysis last updated: Friday, May 3, 2024 at 10:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7351	5.33
$α$	0.0931	7.15
$β$	0.8657	49.70
$γ_{1}$	-0.0377	-0.61
$γ_{2}$	0.1669	1.83
$γ_{3}$	-0.3135	-4.78
$γ_{4}$	0.3567	5.26
$γ_{5}$	-0.2848	-3.96
$γ_{6}$	0.1491	2.11
$γ_{7}$	-0.0253	-0.51

Estimation Period:
Dec 13, 1999 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts