V-Lab: Incheon City Gas Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Incheon City Gas Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:11.37% (-0.75%)

Analysis last updated: Sunday, May 19, 2024 at 12:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2172	4.65
$α$	0.1666	6.67
$β$	0.7624	26.19
$γ_{1}$	-0.6497	-3.12
$γ_{2}$	1.0741	3.37
$γ_{3}$	-0.5608	-2.08
$γ_{4}$	0.3431	1.31
$γ_{5}$	-0.7787	-2.82
$γ_{6}$	0.9301	3.27
$γ_{7}$	0.0480	0.19
$γ_{8}$	-0.9799	-4.72
$γ_{9}$	0.7694	4.45

Estimation Period:
Nov 7, 2006 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts