V-Lab: KT&G Corp MF2-GARCH Volatility Analysis

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V-Lab

KT&G Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:17.73% (-0.35%)

Analysis last updated: Thursday, May 9, 2024 at 12:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1015	15.85
$β$	0.6395	27.43
$γ$	-0.0140	-1.72
$λ_{1}$	0.0105	0.84
$λ_{2}$	0.0402	2.29
$λ_{3}$	0.9564	48.08

Estimation Period:
Oct 8, 1999 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts