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 Monday, April 22nd, 2024:44.56% (-1.89%)

Analysis last updated: Sunday, April 21, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2098	7.57
$α$	0.2380	5.34
$β$	0.5797	9.49
$γ_{1}$	-0.1266	-4.23
$γ_{2}$	0.1560	3.52
$γ_{3}$	-0.0010	-0.03
$γ_{4}$	-0.0710	-1.45
$γ_{5}$	0.0386	0.71
$γ_{6}$	0.1171	2.54
$γ_{7}$	-0.1912	-5.63

Estimation Period:
Feb 12, 1997 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts