V-Lab: Odakyu Electric Railway Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Odakyu Electric Railway Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:34.24% (+4.69%)

Analysis last updated: Sunday, April 21, 2024 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3372	6.91
$α$	0.1385	7.11
$β$	0.7676	27.22
$γ_{1}$	-0.0945	-2.40
$γ_{2}$	0.2132	3.70
$γ_{3}$	-0.2437	-6.17
$γ_{4}$	0.2310	5.92
$γ_{5}$	-0.1809	-4.67
$γ_{6}$	0.1442	4.17
$γ_{7}$	-0.1250	-3.65
$γ_{8}$	0.1111	3.23
$γ_{9}$	-0.1277	-1.85

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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