V-Lab: Teijin Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Teijin Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:25.01% (-1.11%)

Analysis last updated: Thursday, April 18, 2024 at 11:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8835	6.06
$α$	0.0928	9.06
$β$	0.8510	52.84
$γ_{1}$	-0.0451	-1.35
$γ_{2}$	0.0895	1.88
$γ_{3}$	-0.1146	-3.70
$γ_{4}$	0.1398	4.89
$γ_{5}$	-0.1049	-4.01
$γ_{6}$	0.0183	0.70
$γ_{7}$	0.0539	1.88
$γ_{8}$	-0.0496	-1.95

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts