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

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V-Lab

Tokuyama Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:50.94% (-5.07%)

Analysis last updated: Sunday, May 5, 2024 at 12:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8565	5.54
$α$	0.1185	8.30
$β$	0.8132	42.16
$γ_{1}$	-0.0643	-1.48
$γ_{2}$	0.1504	2.32
$γ_{3}$	-0.1775	-3.74
$γ_{4}$	0.1621	3.69
$γ_{5}$	-0.1194	-2.92
$γ_{6}$	0.0931	2.10
$γ_{7}$	-0.0838	-1.53
$γ_{8}$	0.0170	0.33
$γ_{9}$	0.0585	1.99

Estimation Period:
Jan 4, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts