V-Lab: Pan-Pacific Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pan-Pacific Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 15th, 2024:50.75% (+5.54%)

Analysis last updated: Saturday, April 13, 2024 at 11:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7038	7.10
$α$	0.1234	7.72
$β$	0.7872	24.71
$γ_{1}$	-0.0954	-2.01
$γ_{2}$	0.0165	0.22
$γ_{3}$	0.1974	3.44
$γ_{4}$	-0.1794	-3.37
$γ_{5}$	0.1153	2.43
$γ_{6}$	-0.1501	-3.30
$γ_{7}$	0.2078	4.01
$γ_{8}$	-0.1655	-3.74

Estimation Period:
Dec 27, 1994 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts