V-Lab: Sapporo Holdings Ltd Spline-GARCH Volatility Analysis

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V-Lab

Sapporo Holdings Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:26.61% (-0.13%)

Analysis last updated: Sunday, April 28, 2024 at 01:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9180	5.39
$α$	0.1269	8.11
$β$	0.8072	35.42
$γ_{1}$	-0.2138	-3.34
$γ_{2}$	0.4085	4.12
$γ_{3}$	-0.2836	-3.66
$γ_{4}$	0.0658	1.00
$γ_{5}$	0.1099	1.98
$γ_{6}$	-0.1992	-2.96
$γ_{7}$	0.1794	2.70
$γ_{8}$	-0.0825	-1.41
$γ_{9}$	0.0027	0.04
$γ_{10}$	0.0763	0.77

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts