V-Lab: Mitsui Chemicals Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mitsui Chemicals Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:27.11% (+2.43%)

Analysis last updated: Wednesday, May 1, 2024 at 11:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1865	5.20
$α$	0.0942	8.77
$β$	0.8598	56.95
$γ_{1}$	0.0022	0.06
$γ_{2}$	0.0574	1.06
$γ_{3}$	-0.1531	-5.08
$γ_{4}$	0.1793	6.86
$γ_{5}$	-0.1407	-4.69
$γ_{6}$	0.0650	2.04
$γ_{7}$	0.0134	0.37
$γ_{8}$	-0.0743	-1.40

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts