V-Lab: Marubeni Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Marubeni Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:32.96% (-0.32%)

Analysis last updated: Friday, May 3, 2024 at 11:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3081	4.74
$α$	0.1114	10.05
$β$	0.8390	58.73
$γ_{1}$	0.0033	0.09
$γ_{2}$	0.0777	1.58
$γ_{3}$	-0.1890	-6.22
$γ_{4}$	0.1817	6.54
$γ_{5}$	-0.1401	-4.97
$γ_{6}$	0.1191	3.98
$γ_{7}$	-0.0548	-1.93
$γ_{8}$	-0.0075	-0.38

Estimation Period:
Jan 3, 1990 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts