V-Lab: Nippon Express Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Nippon Express Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 24th, 2021:34.73% (-1.55%)

Analysis last updated: Monday, November 22, 2021 at 11:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2483	8.02
$α$	0.0973	8.87
$β$	0.8311	44.67
$γ_{1}$	0.0104	0.25
$γ_{2}$	0.0579	0.88
$γ_{3}$	-0.1266	-2.53
$γ_{4}$	0.0415	0.93
$γ_{5}$	0.0845	1.79
$γ_{6}$	-0.1511	-2.62
$γ_{7}$	0.1477	2.80
$γ_{8}$	-0.0723	-1.60
$γ_{9}$	-0.0029	-0.08

Estimation Period:
Jan 3, 1990 to Nov 22, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts