V-Lab: Fujikura Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Fujikura Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:57.08% (-1.39%)

Analysis last updated: Sunday, April 21, 2024 at 01:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0000	7.66
$α$	0.0896	8.33
$β$	0.8466	46.04
$γ_{1}$	-0.0258	-0.89
$γ_{2}$	0.1225	2.91
$γ_{3}$	-0.1953	-6.59
$γ_{4}$	0.1545	4.77
$γ_{5}$	-0.0989	-2.82
$γ_{6}$	0.0778	2.17
$γ_{7}$	-0.0367	-0.99
$γ_{8}$	-0.0087	-0.29

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

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Volatility Forecasts

Volatility Forecasts