V-Lab: West Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

West Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:25.23% (-0.97%)

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
$ω$	0.5165	3.78
$α$	0.0828	6.28
$β$	0.8975	54.33
$γ_{1}$	-0.2019	-5.46
$γ_{2}$	0.2761	5.02
$γ_{3}$	-0.1174	-2.90
$γ_{4}$	0.0810	2.17
$γ_{5}$	-0.0456	-1.40
$γ_{6}$	0.0025	0.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts