V-Lab: Nippon Kayaku Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Nippon Kayaku Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.92% (-1.28%)

Analysis last updated: Friday, May 3, 2024 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1998	5.83
$α$	0.1146	5.96
$β$	0.8095	30.41
$γ_{1}$	-0.0442	-0.66
$γ_{2}$	0.0904	0.83
$γ_{3}$	-0.0692	-0.88
$γ_{4}$	-0.0390	-0.68
$γ_{5}$	0.1896	3.68
$γ_{6}$	-0.2452	-4.15
$γ_{7}$	0.2093	3.51
$γ_{8}$	-0.1512	-2.60
$γ_{9}$	0.0845	1.49
$γ_{10}$	-0.0288	-0.73

Estimation Period:
Jan 3, 1990 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts