V-Lab: Seoul Broadcasting System Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Seoul Broadcasting System Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:32.79% (-0.70%)

Analysis last updated: Thursday, May 2, 2024 at 11:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3856	4.86
$α$	0.0652	6.51
$β$	0.8900	52.34
$γ_{1}$	-0.1742	-1.67
$γ_{2}$	0.3760	2.65
$γ_{3}$	-0.2889	-3.00
$γ_{4}$	0.0686	0.67
$γ_{5}$	0.0488	0.47
$γ_{6}$	-0.0985	-0.97
$γ_{7}$	0.2622	2.81
$γ_{8}$	-0.3646	-3.55
$γ_{9}$	0.2121	2.36

Estimation Period:
May 25, 1999 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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