V-Lab: DRB Industrial Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

DRB Industrial Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:111.59% (+1.18%)

Analysis last updated: Saturday, May 11, 2024 at 03:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2515	3.86
$α$	0.1574	4.51
$β$	0.6265	7.12
$γ_{1}$	1.5602	1.85
$γ_{2}$	-1.9236	-1.58
$γ_{3}$	-0.0798	-0.12
$γ_{4}$	0.5999	0.86
$γ_{5}$	-0.2678	-0.35
$γ_{6}$	1.7286	2.17
$γ_{7}$	-4.1410	-4.40
$γ_{8}$	4.5809	4.92
$γ_{9}$	-4.0085	-3.49
$γ_{10}$	5.9662	3.25

Estimation Period:
Oct 19, 2012 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts