V-Lab: Taiyo Yuden Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Taiyo Yuden Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:27.43% (-0.64%)

Analysis last updated: Tuesday, April 30, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1408	7.26
$α$	0.0467	6.78
$β$	0.9281	78.65
$γ_{1}$	-0.0062	-0.21
$γ_{2}$	0.0915	1.94
$γ_{3}$	-0.2028	-5.79
$γ_{4}$	0.2046	6.21
$γ_{5}$	-0.1259	-3.60
$γ_{6}$	0.0461	1.12
$γ_{7}$	-0.0112	-0.25
$γ_{8}$	-0.0231	-0.46

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts