V-Lab: Woojin Inc Spline-GARCH Volatility Analysis

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V-Lab

Woojin Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:28.36% (-0.98%)

Analysis last updated: Thursday, May 9, 2024 at 11:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9623	5.51
$α$	0.1767	4.03
$β$	0.6357	7.66
$γ_{1}$	-0.4026	-1.09
$γ_{2}$	0.5968	1.10
$γ_{3}$	-0.5101	-1.60
$γ_{4}$	0.8695	3.15
$γ_{5}$	-0.5016	-1.47
$γ_{6}$	-0.5888	-1.46
$γ_{7}$	1.1243	3.01
$γ_{8}$	-1.3132	-2.99
$γ_{9}$	1.1115	1.60

Estimation Period:
Jul 26, 2010 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts