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

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V-Lab

Toyobo Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:17.93% (-1.06%)

Analysis last updated: Thursday, May 2, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3618	5.84
$α$	0.1038	9.11
$β$	0.8357	40.96
$γ_{1}$	-0.0019	-0.06
$γ_{2}$	0.0437	0.83
$γ_{3}$	-0.1272	-3.60
$γ_{4}$	0.1772	6.03
$γ_{5}$	-0.1449	-4.97
$γ_{6}$	0.0767	2.34
$γ_{7}$	-0.0346	-0.92
$γ_{8}$	-0.0269	-0.41

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

News Impact Curve

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Volatility Forecasts

Volatility Forecasts