V-Lab: Fast Retailing Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fast Retailing Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:29.68% (-1.37%)

Analysis last updated: Saturday, April 20, 2024 at 12:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8487	5.93
$α$	0.1030	6.73
$β$	0.8023	26.23
$γ_{1}$	0.0036	0.09
$γ_{2}$	-0.0801	-1.41
$γ_{3}$	0.1449	4.49
$γ_{4}$	-0.1066	-3.77
$γ_{5}$	0.0547	1.93
$γ_{6}$	-0.0160	-0.62
$γ_{7}$	0.0004	0.02

Estimation Period:
Sep 15, 1994 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts