V-Lab: Shin-Etsu Chemical Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shin-Etsu Chemical Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:32.77% (-1.04%)

Analysis last updated: Saturday, April 20, 2024 at 02:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4064	8.39
$α$	0.0786	7.29
$β$	0.8722	47.98
$γ_{1}$	-0.0001	-0.01
$γ_{2}$	0.1018	2.57
$γ_{3}$	-0.2313	-8.21
$γ_{4}$	0.2220	8.36
$γ_{5}$	-0.1454	-5.13
$γ_{6}$	0.0773	2.45
$γ_{7}$	-0.0154	-0.40
$γ_{8}$	-0.0214	-0.57

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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