V-Lab: Mitsumi Electric Co Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Mitsumi Electric Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 24th, 2017:42.80% (+1.05%)

Analysis last updated: Monday, January 23, 2017 at 07:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5093	8.76
$α$	0.0605	6.62
$β$	0.8904	55.96
$γ_{1}$	0.0429	1.60
$γ_{2}$	-0.0034	-0.08
$γ_{3}$	-0.1262	-4.34
$γ_{4}$	0.1844	7.53
$γ_{5}$	-0.1601	-7.03
$γ_{6}$	0.1035	2.74

Estimation Period:
Jan 3, 1990 to Jan 13, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts