V-Lab: HanmiGlobal Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

HanmiGlobal Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:24.20% (-0.80%)

Analysis last updated: Thursday, May 9, 2024 at 12:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0956	4.42
$α$	0.1247	5.56
$β$	0.7446	17.66
$γ_{1}$	0.7925	2.03
$γ_{2}$	-1.3965	-2.27
$γ_{3}$	1.4601	3.45
$γ_{4}$	-1.8082	-4.61
$γ_{5}$	1.7558	4.24
$γ_{6}$	-1.2449	-2.55
$γ_{7}$	0.4495	0.99
$γ_{8}$	0.4499	1.34
$γ_{9}$	-1.7456	-3.57

Estimation Period:
Jun 23, 2009 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts