V-Lab: Fujikura Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Fujikura Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:40.63% (-1.35%)

Analysis last updated: Sunday, May 5, 2024 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9811	7.65
$α$	0.0906	8.36
$β$	0.8442	45.41
$γ_{1}$	-0.0357	-1.26
$γ_{2}$	0.1396	3.38
$γ_{3}$	-0.2083	-7.15
$γ_{4}$	0.1647	5.11
$γ_{5}$	-0.1057	-2.99
$γ_{6}$	0.0801	2.12
$γ_{7}$	-0.0307	-0.63
$γ_{8}$	-0.0346	-0.33

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts