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

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V-Lab

Yamaha Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:26.93% (-1.36%)

Analysis last updated: Saturday, April 20, 2024 at 12:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8879	7.87
$α$	0.1229	7.10
$β$	0.7374	21.81
$γ_{1}$	-0.0724	-2.61
$γ_{2}$	0.1348	3.40
$γ_{3}$	-0.1485	-6.39
$γ_{4}$	0.1613	8.15
$γ_{5}$	-0.1030	-4.68
$γ_{6}$	0.0345	1.27
$γ_{7}$	-0.0190	-0.58
$γ_{8}$	0.0210	0.75

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts