V-Lab: Terumo Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Terumo Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:27.84% (-0.91%)

Analysis last updated: Saturday, April 20, 2024 at 01:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2998	7.46
$α$	0.1021	6.12
$β$	0.7707	22.57
$γ_{1}$	-0.0179	-0.65
$γ_{2}$	0.0904	2.10
$γ_{3}$	-0.1687	-4.54
$γ_{4}$	0.1688	5.52
$γ_{5}$	-0.1037	-4.18
$γ_{6}$	0.0379	1.36
$γ_{7}$	-0.0014	-0.05
$γ_{8}$	-0.0091	-0.48

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts