V-Lab: Woojin Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Woojin Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.13% (-1.21%)

Analysis last updated: Friday, May 3, 2024 at 12:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9722	5.55
$α$	0.1762	4.02
$β$	0.6354	7.62
$γ_{1}$	-0.3789	-1.03
$γ_{2}$	0.5608	1.03
$γ_{3}$	-0.4890	-1.54
$γ_{4}$	0.8551	3.10
$γ_{5}$	-0.4941	-1.46
$γ_{6}$	-0.5888	-1.47
$γ_{7}$	1.1159	3.14
$γ_{8}$	-1.2933	-3.92
$γ_{9}$	1.0791	3.73

Estimation Period:
Jul 26, 2010 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts