V-Lab: Nissan Motor Co Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Nissan Motor Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.17% (+0.14%)

Analysis last updated: Sunday, April 21, 2024 at 01:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0852	5.54
$α$	0.1039	9.50
$β$	0.8505	55.29
$γ_{1}$	-0.0124	-0.32
$γ_{2}$	0.0668	1.18
$γ_{3}$	-0.1668	-4.55
$γ_{4}$	0.2401	7.53
$γ_{5}$	-0.2142	-6.16
$γ_{6}$	0.0916	2.31
$γ_{7}$	0.0773	2.00
$γ_{8}$	-0.2018	-2.88

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts