V-Lab: Japan Steel Works Ltd/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Japan Steel Works Ltd/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:35.37% (-0.03%)

Analysis last updated: Sunday, April 21, 2024 at 01:29 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1804	7.05
$α$	0.0955	6.66
$β$	0.8395	42.51
$γ_{1}$	0.0303	1.09
$γ_{2}$	0.0014	0.03
$γ_{3}$	-0.0917	-2.56
$γ_{4}$	0.1005	3.16
$γ_{5}$	-0.0674	-2.01
$γ_{6}$	0.0640	1.60
$γ_{7}$	-0.0786	-1.67
$γ_{8}$	0.0614	1.71

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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