V-Lab: Japan Tobacco Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Japan Tobacco Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:16.54% (-0.81%)

Analysis last updated: Sunday, April 21, 2024 at 02:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1257	4.06
$α$	0.1312	7.18
$β$	0.7387	19.79
$γ_{1}$	0.3414	5.87
$γ_{2}$	-0.6027	-6.60
$γ_{3}$	0.3997	6.01
$γ_{4}$	-0.1589	-3.22
$γ_{5}$	-0.0128	-0.29
$γ_{6}$	0.0219	0.48
$γ_{7}$	0.0339	0.64
$γ_{8}$	-0.0149	-0.25
$γ_{9}$	-0.0079	-0.18

Estimation Period:
Oct 27, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts