V-Lab: Sumco Corp MF2-GARCH Volatility Analysis

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V-Lab

Sumco Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:44.10% (+1.31%)

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
$m$	101
$α$	0.0391	14.39
$β$	0.9020	211.43
$γ$	0.0255	8.32
$λ_{1}$	0.8127	0.77
$λ_{2}$	0.9233	0.85
$λ_{3}$	0.0000	0.00

Estimation Period:
Nov 17, 2005 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts