V-Lab: East Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

East Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.86% (+1.62%)

Analysis last updated: Sunday, April 21, 2024 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8696	3.15
$α$	0.1221	7.99
$β$	0.8377	43.55
$γ_{1}$	0.0715	1.35
$γ_{2}$	-0.1734	-2.45
$γ_{3}$	0.1894	5.12
$γ_{4}$	-0.1378	-4.00
$γ_{5}$	0.0565	1.91
$γ_{6}$	0.0081	0.32
$γ_{7}$	-0.0202	-1.05

Estimation Period:
Oct 26, 1993 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts