V-Lab: Toyobo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Toyobo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:21.40% (+0.11%)

Analysis last updated: Wednesday, May 1, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3407	5.28
$α$	0.0947	8.71
$β$	0.8551	46.44
$γ_{1}$	-0.0006	-0.02
$γ_{2}$	0.0387	0.69
$γ_{3}$	-0.1204	-3.20
$γ_{4}$	0.1726	5.53
$γ_{5}$	-0.1448	-4.73
$γ_{6}$	0.0852	2.56
$γ_{7}$	-0.0620	-1.92
$γ_{8}$	0.0508	2.23

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts