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

V-Lab

| |

V-Lab

Nippon Kayaku Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:20.18% (-1.55%)

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
$ω$	1.1264	5.63
$α$	0.1153	5.84
$β$	0.8038	28.75
$γ_{1}$	-0.0719	-1.08
$γ_{2}$	0.1305	1.21
$γ_{3}$	-0.0849	-1.09
$γ_{4}$	-0.0404	-0.72
$γ_{5}$	0.2046	4.08
$γ_{6}$	-0.2693	-4.71
$γ_{7}$	0.2424	4.18
$γ_{8}$	-0.2022	-3.46
$γ_{9}$	0.1782	2.53
$γ_{10}$	-0.2603	-2.13

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts