V-Lab: Nisshin Seifun Group Inc MF2-GARCH Volatility Analysis

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V-Lab

Nisshin Seifun Group Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:21.32% (-0.38%)

Analysis last updated: Saturday, May 4, 2024 at 12:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0930	16.66
$β$	0.6569	41.77
$γ$	0.1019	8.50
$λ_{1}$	0.0184	3.20
$λ_{2}$	0.0278	5.52
$λ_{3}$	0.9670	168.61

Estimation Period:
Jan 3, 1990 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts