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

V-Lab

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V-Lab

Seoul Broadcasting System Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:34.93% (-0.33%)

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
$ω$	1.4131	4.89
$α$	0.0670	6.59
$β$	0.8869	49.42
$γ_{1}$	-0.1749	-1.70
$γ_{2}$	0.3807	2.72
$γ_{3}$	-0.2949	-3.11
$γ_{4}$	0.0689	0.69
$γ_{5}$	0.0567	0.55
$γ_{6}$	-0.1152	-1.14
$γ_{7}$	0.2951	3.22
$γ_{8}$	-0.4389	-4.39
$γ_{9}$	0.3899	2.46

Estimation Period:
May 25, 1999 to May 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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