V-Lab: Toshiba Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Toshiba Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 20th, 2023:1.18% (+0.08%)

Analysis last updated: Thursday, December 21, 2023 at 07:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3489	4.95
$α$	0.0936	9.85
$β$	0.9001	98.33
$γ_{1}$	-0.0444	-0.66
$γ_{2}$	0.1369	1.41
$γ_{3}$	-0.2119	-3.39
$γ_{4}$	0.2183	3.41
$γ_{5}$	-0.1727	-2.19
$γ_{6}$	0.1821	2.40
$γ_{7}$	-0.3928	-6.20
$γ_{8}$	0.4925	8.82

Estimation Period:
Jan 3, 1990 to Dec 15, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts