V-Lab: Teijin Ltd Spline-GARCH Volatility Analysis

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V-Lab

Teijin Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:24.96% (-0.82%)

Analysis last updated: Sunday, April 28, 2024 at 01:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8580	5.92
$α$	0.0933	9.14
$β$	0.8500	52.93
$γ_{1}$	-0.0550	-1.65
$γ_{2}$	0.1056	2.22
$γ_{3}$	-0.1259	-4.06
$γ_{4}$	0.1497	5.24
$γ_{5}$	-0.1151	-4.40
$γ_{6}$	0.0311	1.16
$γ_{7}$	0.0324	1.00
$γ_{8}$	-0.0006	-0.01

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts