V-Lab: Nippon Yusen KK Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nippon Yusen KK Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:35.30% (-0.36%)

Analysis last updated: Sunday, April 21, 2024 at 12:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2818	6.79
$α$	0.0839	9.53
$β$	0.8832	76.08
$γ_{1}$	-0.0125	-0.30
$γ_{2}$	0.0997	1.56
$γ_{3}$	-0.1908	-4.65
$γ_{4}$	0.1795	5.45
$γ_{5}$	-0.1120	-3.21
$γ_{6}$	0.0311	0.79
$γ_{7}$	0.0441	1.22
$γ_{8}$	-0.0653	-2.40

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

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Volatility Forecasts

Volatility Forecasts