V-Lab: SCREEN Holdings Co Ltd MF2-GARCH Volatility Analysis

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V-Lab

SCREEN Holdings Co Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:62.92% (-2.09%)

Analysis last updated: Saturday, May 18, 2024 at 12:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0306	17.16
$β$	0.9071	147.54
$γ$	0.0424	11.72
$λ_{1}$	0.0524	3.61
$λ_{2}$	0.0230	3.01
$λ_{3}$	0.9704	102.55

Estimation Period:
Jan 4, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts