V-Lab: East Japan Railway Co Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

East Japan Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:17.98% (-1.31%)

Analysis last updated: Sunday, April 28, 2024 at 12:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8581	3.28
$α$	0.1226	8.01
$β$	0.8316	41.60
$γ_{1}$	0.0742	1.46
$γ_{2}$	-0.1773	-2.60
$γ_{3}$	0.1902	5.39
$γ_{4}$	-0.1344	-4.07
$γ_{5}$	0.0440	1.48
$γ_{6}$	0.0486	1.31
$γ_{7}$	-0.1404	-1.70

Estimation Period:
Oct 26, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts