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

V-Lab

| |

V-Lab

Keio Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:26.01% (-1.42%)

Analysis last updated: Sunday, April 28, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7696	6.02
$α$	0.1153	8.26
$β$	0.8310	45.27
$γ_{1}$	0.0095	0.29
$γ_{2}$	0.0587	1.13
$γ_{3}$	-0.1726	-3.89
$γ_{4}$	0.1949	4.90
$γ_{5}$	-0.1366	-4.15
$γ_{6}$	0.0746	2.37
$γ_{7}$	-0.0380	-1.43
$γ_{8}$	0.0055	0.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts