V-Lab: Citizen Watch Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Citizen Watch Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:31.72% (+1.90%)

Analysis last updated: Sunday, April 21, 2024 at 12:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4777	7.32
$α$	0.0926	8.74
$β$	0.8412	43.25
$γ_{1}$	0.0759	2.77
$γ_{2}$	-0.0377	-0.92
$γ_{3}$	-0.1332	-4.67
$γ_{4}$	0.1792	6.85
$γ_{5}$	-0.1217	-4.21
$γ_{6}$	0.0346	1.05
$γ_{7}$	0.0197	0.60
$γ_{8}$	-0.0254	-0.96

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts