V-Lab: FUJIFILM Holdings Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

FUJIFILM Holdings Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:23.94% (-0.15%)

Analysis last updated: Wednesday, May 1, 2024 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1892	6.31
$α$	0.1187	8.90
$β$	0.7788	32.76
$γ_{1}$	0.0512	1.25
$γ_{2}$	-0.0202	-0.32
$γ_{3}$	-0.0460	-1.06
$γ_{4}$	-0.0663	-1.82
$γ_{5}$	0.2131	5.63
$γ_{6}$	-0.2371	-4.53
$γ_{7}$	0.1578	2.61
$γ_{8}$	-0.0817	-1.41
$γ_{9}$	0.0622	1.01
$γ_{10}$	-0.0853	-0.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts