V-Lab: Showa Shell Sekiyu KK Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Showa Shell Sekiyu KK Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 27th, 2019:43.16% (-2.49%)

Analysis last updated: Tuesday, March 26, 2019 at 06:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9541	8.90
$α$	0.0905	8.66
$β$	0.8656	53.98
$γ_{1}$	0.0769	4.34
$γ_{2}$	-0.1311	-4.79
$γ_{3}$	0.0990	5.77
$γ_{4}$	-0.0595	-3.86
$γ_{5}$	0.0146	1.19

Estimation Period:
Jan 3, 1990 to Mar 22, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts