V-Lab: SJM Holdings Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

SJM Holdings Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.10% (-0.44%)

Analysis last updated: Saturday, April 27, 2024 at 11:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2164	7.54
$α$	0.2292	6.24
$β$	0.5828	11.31
$γ_{1}$	-0.1218	-2.91
$γ_{2}$	0.1074	1.63
$γ_{3}$	0.0986	1.71
$γ_{4}$	-0.1608	-2.71
$γ_{5}$	0.1049	2.28
$γ_{6}$	-0.0651	-1.41
$γ_{7}$	0.2415	4.02
$γ_{8}$	-0.5439	-4.68

Estimation Period:
Feb 12, 1997 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts