V-Lab: West Japan Railway Co MF2-GARCH Volatility Analysis

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V-Lab

West Japan Railway Co MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:21.95% (-1.98%)

Analysis last updated: Sunday, April 28, 2024 at 12:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0739	14.99
$β$	0.6810	39.56
$γ$	0.1044	11.93
$λ_{1}$	0.0095	2.07
$λ_{2}$	0.0322	4.05
$λ_{3}$	0.9650	103.40

Estimation Period:
Oct 8, 1996 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts