V-Lab: Japan Tobacco Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Japan Tobacco Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:15.81% (+2.32%)

Analysis last updated: Wednesday, May 1, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1577	4.14
$α$	0.1318	7.17
$β$	0.7351	19.14
$γ_{1}$	0.3567	6.24
$γ_{2}$	-0.6269	-6.98
$γ_{3}$	0.4149	6.35
$γ_{4}$	-0.1678	-3.45
$γ_{5}$	-0.0127	-0.29
$γ_{6}$	0.0329	0.73
$γ_{7}$	0.0064	0.13
$γ_{8}$	0.0444	0.72
$γ_{9}$	-0.1553	-1.70

Estimation Period:
Oct 27, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts