V-Lab: Koas Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Koas Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:33.19% (+0.39%)

Analysis last updated: Sunday, May 19, 2024 at 12:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7530	3.72
$α$	0.1921	5.61
$β$	0.6840	16.30
$γ_{1}$	-0.3579	-1.49
$γ_{2}$	0.5309	1.53
$γ_{3}$	-0.3443	-1.73
$γ_{4}$	0.3714	2.15
$γ_{5}$	-0.4980	-2.83
$γ_{6}$	0.7023	3.48
$γ_{7}$	-0.8009	-2.33
$γ_{8}$	0.6149	1.34
$γ_{9}$	-0.2553	-0.73

Estimation Period:
Aug 4, 2005 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts