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

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V-Lab

Nitto Boseki Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:45.39% (-3.22%)

Analysis last updated: Sunday, May 5, 2024 at 12:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9024	9.26
$α$	0.1127	6.55
$β$	0.7895	27.07
$γ_{1}$	-0.0507	-2.07
$γ_{2}$	0.1058	2.79
$γ_{3}$	-0.1227	-3.77
$γ_{4}$	0.1325	3.69
$γ_{5}$	-0.1132	-3.81
$γ_{6}$	0.0609	2.19
$γ_{7}$	0.0026	0.09
$γ_{8}$	-0.0248	-1.11

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts