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

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V-Lab

Central Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:20.72% (+0.36%)

Analysis last updated: Thursday, April 18, 2024 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3038	4.29
$α$	0.1117	6.05
$β$	0.8210	31.65
$γ_{1}$	-0.3487	-1.85
$γ_{2}$	0.2148	0.80
$γ_{3}$	0.3621	2.88
$γ_{4}$	-0.3430	-3.82
$γ_{5}$	0.0592	0.66
$γ_{6}$	0.2178	2.10
$γ_{7}$	-0.3828	-3.79
$γ_{8}$	0.4532	5.08
$γ_{9}$	-0.4150	-4.97
$γ_{10}$	0.2550	4.24

Estimation Period:
Oct 8, 1997 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts