V-Lab: Nissan Chemical Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Nissan Chemical Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:21.23% (-0.64%)

Analysis last updated: Tuesday, April 30, 2024 at 10:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0200	8.75
$α$	0.0813	7.65
$β$	0.8757	58.00
$γ_{1}$	0.0999	6.04
$γ_{2}$	-0.1455	-5.37
$γ_{3}$	0.0710	3.81
$γ_{4}$	-0.0470	-3.20
$γ_{5}$	0.0435	2.40
$γ_{6}$	-0.0480	-1.46

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts