V-Lab: Alps Alpine Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Alps Alpine Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.78% (-0.29%)

Analysis last updated: Sunday, April 21, 2024 at 01:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8729	7.21
$α$	0.0681	6.95
$β$	0.8848	54.54
$γ_{1}$	-0.0484	-1.81
$γ_{2}$	0.1246	3.12
$γ_{3}$	-0.1729	-4.99
$γ_{4}$	0.1794	4.45
$γ_{5}$	-0.1279	-3.56
$γ_{6}$	0.0416	1.27
$γ_{7}$	0.0318	0.70
$γ_{8}$	-0.0627	-0.56

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts