V-Lab: Shinsegae Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shinsegae Food Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:19.66% (-0.86%)

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
$ω$	2.0417	4.28
$α$	0.0905	5.39
$β$	0.8356	23.83
$γ_{1}$	0.1145	0.92
$γ_{2}$	-0.0075	-0.04
$γ_{3}$	-0.2522	-2.15
$γ_{4}$	0.1998	2.08
$γ_{5}$	0.1006	1.12
$γ_{6}$	-0.4025	-3.97
$γ_{7}$	0.4242	3.86
$γ_{8}$	-0.3107	-2.89
$γ_{9}$	0.2065	2.72

Estimation Period:
Aug 1, 2001 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts