V-Lab: J Front Retailing Co Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

J Front Retailing Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:41.63% (-3.64%)

Analysis last updated: Sunday, April 28, 2024 at 01:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2599	5.29
$α$	0.1164	9.00
$β$	0.8139	37.68
$γ_{1}$	-0.1315	-2.14
$γ_{2}$	0.2321	2.38
$γ_{3}$	-0.1630	-2.20
$γ_{4}$	0.1387	2.45
$γ_{5}$	-0.1535	-3.83
$γ_{6}$	0.1134	2.89
$γ_{7}$	-0.0455	-1.18
$γ_{8}$	0.0283	0.67
$γ_{9}$	-0.0730	-0.78

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts