V-Lab: Citizen Watch Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Citizen Watch Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:23.26% (+0.14%)

Analysis last updated: Wednesday, May 1, 2024 at 11:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5051	7.77
$α$	0.0934	8.72
$β$	0.8335	40.26
$γ_{1}$	0.0821	3.13
$γ_{2}$	-0.0463	-1.18
$γ_{3}$	-0.1306	-4.77
$γ_{4}$	0.1795	7.15
$γ_{5}$	-0.1198	-4.29
$γ_{6}$	0.0222	0.68
$γ_{7}$	0.0575	1.52
$γ_{8}$	-0.1324	-2.36

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts