V-Lab: ANA Holdings Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ANA Holdings Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:16.43% (-0.04%)

Analysis last updated: Saturday, April 20, 2024 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1537	6.05
$α$	0.0939	6.68
$β$	0.8556	43.26
$γ_{1}$	-0.0325	-1.05
$γ_{2}$	0.0885	1.90
$γ_{3}$	-0.1418	-4.32
$γ_{4}$	0.1572	5.18
$γ_{5}$	-0.0835	-2.44
$γ_{6}$	-0.0351	-0.88
$γ_{7}$	0.1441	3.02
$γ_{8}$	-0.2870	-3.51

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts