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

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V-Lab

SJM Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:16.35% (+1.23%)

Analysis last updated: Tuesday, April 30, 2024 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7674	3.26
$α$	0.2192	6.28
$β$	0.5559	9.78
$γ_{1}$	-0.6901	-1.41
$γ_{2}$	0.8004	1.28
$γ_{3}$	-0.2277	-0.60
$γ_{4}$	0.0512	0.13
$γ_{5}$	0.2908	0.69
$γ_{6}$	-0.2674	-0.62
$γ_{7}$	0.5423	1.33
$γ_{8}$	-1.3834	-2.94
$γ_{9}$	1.8598	3.54
$γ_{10}$	-2.8830	-2.41

Estimation Period:
May 31, 2010 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts