V-Lab: Fujikura Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Fujikura Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:43.15% (-1.28%)

Analysis last updated: Sunday, May 5, 2024 at 12:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9981	7.66
$α$	0.0896	8.32
$β$	0.8464	45.85
$γ_{1}$	-0.0261	-0.91
$γ_{2}$	0.1225	2.92
$γ_{3}$	-0.1947	-6.60
$γ_{4}$	0.1541	4.79
$γ_{5}$	-0.0989	-2.83
$γ_{6}$	0.0785	2.20
$γ_{7}$	-0.0386	-1.05
$γ_{8}$	-0.0067	-0.22

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts