V-Lab: Shinsegae International Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Shinsegae International Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:21.48% (-0.35%)

Analysis last updated: Thursday, May 16, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4059	5.24
$α$	0.0566	3.36
$β$	0.8274	12.48
$γ_{1}$	0.0457	0.19
$γ_{2}$	0.5626	1.65
$γ_{3}$	-1.4157	-6.41
$γ_{4}$	1.6331	6.94
$γ_{5}$	-1.5224	-5.71
$γ_{6}$	1.1149	2.75
$γ_{7}$	-0.7275	-1.24
$γ_{8}$	0.3045	0.50

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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