V-Lab: Teijin Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Teijin Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:22.99% (-0.88%)

Analysis last updated: Sunday, April 28, 2024 at 01:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8842	6.08
$α$	0.0928	9.06
$β$	0.8508	52.73
$γ_{1}$	-0.0447	-1.34
$γ_{2}$	0.0887	1.87
$γ_{3}$	-0.1140	-3.69
$γ_{4}$	0.1394	4.89
$γ_{5}$	-0.1050	-4.03
$γ_{6}$	0.0190	0.73
$γ_{7}$	0.0531	1.86
$γ_{8}$	-0.0489	-1.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts