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

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V-Lab

West Japan Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:21.37% (-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
$ω$	0.4431	4.17
$α$	0.0990	6.18
$β$	0.8562	42.51
$γ_{1}$	-0.2114	-3.02
$γ_{2}$	0.1620	1.58
$γ_{3}$	0.1653	2.59
$γ_{4}$	-0.2472	-4.62
$γ_{5}$	0.2693	4.79
$γ_{6}$	-0.2418	-3.88
$γ_{7}$	0.2248	3.13
$γ_{8}$	-0.3943	-2.41

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts