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 Thursday, April 18th, 2024:18.36% (-0.56%)

Analysis last updated: Thursday, April 18, 2024 at 11:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1362	4.09
$α$	0.1318	7.20
$β$	0.7384	19.83
$γ_{1}$	0.3441	5.92
$γ_{2}$	-0.6062	-6.63
$γ_{3}$	0.4010	6.02
$γ_{4}$	-0.1598	-3.23
$γ_{5}$	-0.0119	-0.27
$γ_{6}$	0.0206	0.45
$γ_{7}$	0.0356	0.67
$γ_{8}$	-0.0163	-0.28
$γ_{9}$	-0.0072	-0.17

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts