V-Lab: SJM Holdings Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

SJM Holdings Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:47.81% (+4.43%)

Analysis last updated: Friday, April 19, 2024 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2143	7.60
$α$	0.2388	5.36
$β$	0.5778	9.46
$γ_{1}$	-0.1253	-4.19
$γ_{2}$	0.1543	3.48
$γ_{3}$	-0.0005	-0.01
$γ_{4}$	-0.0713	-1.46
$γ_{5}$	0.0389	0.71
$γ_{6}$	0.1173	2.54
$γ_{7}$	-0.1922	-5.61

Estimation Period:
Feb 12, 1997 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts