V-Lab: Chiyoda Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Chiyoda Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:30.57% (-1.92%)

Analysis last updated: Sunday, April 28, 2024 at 12:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0693	8.09
$α$	0.1263	8.50
$β$	0.7921	35.64
$γ_{1}$	-0.0001	-0.00
$γ_{2}$	0.1139	1.60
$γ_{3}$	-0.1787	-3.49
$γ_{4}$	-0.0348	-0.66
$γ_{5}$	0.2531	4.57
$γ_{6}$	-0.2748	-5.01
$γ_{7}$	0.1736	3.01
$γ_{8}$	-0.0040	-0.06
$γ_{9}$	-0.1243	-1.47
$γ_{10}$	0.0714	0.45

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts