V-Lab: AGC Inc/Japan MF2-GARCH Volatility Analysis

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V-Lab

AGC Inc/Japan MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:20.61% (+0.26%)

Analysis last updated: Thursday, May 2, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0407	19.57
$β$	0.8950	222.63
$γ$	0.0484	15.78
$λ_{1}$	0.0147	6.45
$λ_{2}$	0.0157	4.58
$λ_{3}$	0.9804	244.61

Estimation Period:
Jan 4, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts