V-Lab: Kikkoman Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Kikkoman Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:29.72% (+6.00%)

Analysis last updated: Wednesday, May 1, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8738	9.78
$α$	0.1081	6.38
$β$	0.8158	27.51
$γ_{1}$	0.0502	4.21
$γ_{2}$	-0.0878	-4.76
$γ_{3}$	0.0809	5.34
$γ_{4}$	-0.0708	-3.80
$γ_{5}$	0.0552	2.56
$γ_{6}$	-0.0732	-2.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts