V-Lab: JFE Holdings Inc GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

JFE Holdings Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:29.55% (+0.52%)

Analysis last updated: Sunday, April 21, 2024 at 01:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0950	13.69
$α$	0.0378	10.57
$β$	0.9277	286.52
$γ$	0.0383	6.04

Estimation Period:
Sep 26, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts