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

V-Lab

| |

V-Lab

Nitto Boseki Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:49.85% (-3.07%)

Analysis last updated: Sunday, May 5, 2024 at 12:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7616	8.33
$α$	0.1179	6.79
$β$	0.7768	26.17
$γ_{1}$	-0.1353	-4.08
$γ_{2}$	0.2463	4.68
$γ_{3}$	-0.2164	-5.16
$γ_{4}$	0.1765	4.02
$γ_{5}$	-0.0931	-1.60
$γ_{6}$	0.0060	0.10
$γ_{7}$	0.0289	0.60
$γ_{8}$	-0.0092	-0.22
$γ_{9}$	0.0320	0.45

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts