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

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V-Lab

Kuraray Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:20.90% (-0.54%)

Analysis last updated: Tuesday, April 30, 2024 at 10:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3175	7.61
$α$	0.0784	6.87
$β$	0.8716	44.96
$γ_{1}$	-0.0890	-3.21
$γ_{2}$	0.2235	5.35
$γ_{3}$	-0.2428	-8.04
$γ_{4}$	0.1808	6.42
$γ_{5}$	-0.1261	-4.54
$γ_{6}$	0.0895	3.18
$γ_{7}$	-0.0551	-1.92
$γ_{8}$	0.0256	1.09

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts