V-Lab: Toshiba Corp Spline-GARCH Volatility Analysis

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V-Lab

Toshiba Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 20th, 2023:1.16% (+0.10%)

Analysis last updated: Thursday, December 21, 2023 at 07:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0347	5.73
$α$	0.1101	8.90
$β$	0.8542	65.28
$γ_{1}$	-0.0354	-0.57
$γ_{2}$	0.1031	1.09
$γ_{3}$	-0.0453	-0.65
$γ_{4}$	-0.1708	-2.75
$γ_{5}$	0.3203	5.35
$γ_{6}$	-0.3015	-4.04
$γ_{7}$	0.2389	2.02
$γ_{8}$	-0.2251	-1.52
$γ_{9}$	0.2516	2.06
$γ_{10}$	-0.8131	-5.75

Estimation Period:
Jan 3, 1990 to Dec 15, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts