V-Lab: ITOCHU Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ITOCHU Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:27.53% (-1.42%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3180	6.27
$α$	0.1136	9.95
$β$	0.8633	72.46
$γ_{1}$	0.0094	2.19
$γ_{2}$	-0.0192	-3.10
$γ_{3}$	0.0234	3.96

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts