V-Lab: Amorepacific Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Amorepacific Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:49.80% (-2.69%)

Analysis last updated: Friday, May 3, 2024 at 10:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4686	3.39
$α$	0.0913	4.84
$β$	0.7408	13.82
$γ_{1}$	-0.7129	-3.01
$γ_{2}$	0.9525	3.07
$γ_{3}$	-0.4333	-3.02
$γ_{4}$	0.5109	4.29
$γ_{5}$	-0.6146	-5.14
$γ_{6}$	0.5320	3.74
$γ_{7}$	-0.4492	-2.87
$γ_{8}$	0.3756	2.23
$γ_{9}$	-0.2775	-1.10

Estimation Period:
Jun 29, 2006 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts