V-Lab: Nitto Denko Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Nitto Denko Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:24.55% (+0.97%)

Analysis last updated: Sunday, April 28, 2024 at 12:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4589	6.41
$α$	0.0547	6.79
$β$	0.9035	63.82
$γ_{1}$	0.0008	0.03
$γ_{2}$	0.0897	2.05
$γ_{3}$	-0.1943	-6.35
$γ_{4}$	0.1661	5.76
$γ_{5}$	-0.0837	-2.31
$γ_{6}$	0.0158	0.31
$γ_{7}$	0.0134	0.26
$γ_{8}$	-0.0342	-0.63

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts