V-Lab: Sumco Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sumco Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:42.04% (+2.29%)

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
$ω$	1.0294	7.85
$α$	0.0594	6.68
$β$	0.9116	69.88
$γ_{1}$	0.0139	1.01
$γ_{2}$	-0.0405	-1.97
$γ_{3}$	0.0440	3.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts