V-Lab: Sinar Mas Multiartha Tbk PT Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sinar Mas Multiartha Tbk PT Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:23.48% (-7.30%)

Analysis last updated: Thursday, May 16, 2024 at 08:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5244	3.16
$α$	0.3709	7.04
$β$	0.4788	8.47
$γ_{1}$	-0.5966	-2.22
$γ_{2}$	0.7577	1.97
$γ_{3}$	-0.4708	-1.87
$γ_{4}$	0.6020	2.80
$γ_{5}$	-0.3543	-1.78
$γ_{6}$	-0.2225	-1.04
$γ_{7}$	0.9122	4.59
$γ_{8}$	-1.0929	-5.50
$γ_{9}$	0.4238	1.42
$γ_{10}$	0.1964	0.73

Estimation Period:
Jul 5, 1995 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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