V-Lab: FUJIFILM Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

FUJIFILM Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:28.73% (-2.06%)

Analysis last updated: Sunday, April 21, 2024 at 01:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1688	6.31
$α$	0.1143	9.02
$β$	0.7975	37.07
$γ_{1}$	0.0450	1.83
$γ_{2}$	-0.0235	-0.65
$γ_{3}$	-0.0904	-3.69
$γ_{4}$	0.1364	6.03
$γ_{5}$	-0.1073	-3.61
$γ_{6}$	0.0501	1.45
$γ_{7}$	-0.0074	-0.23
$γ_{8}$	-0.0028	-0.12

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts