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

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V-Lab

Central Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:19.42% (+0.46%)

Analysis last updated: Wednesday, May 1, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3038	4.30
$α$	0.1107	6.03
$β$	0.8223	31.80
$γ_{1}$	-0.3483	-1.86
$γ_{2}$	0.2152	0.81
$γ_{3}$	0.3617	2.89
$γ_{4}$	-0.3459	-3.87
$γ_{5}$	0.0653	0.73
$γ_{6}$	0.2113	2.03
$γ_{7}$	-0.3785	-3.73
$γ_{8}$	0.4520	5.03
$γ_{9}$	-0.4160	-4.95
$γ_{10}$	0.2561	4.23

Estimation Period:
Oct 8, 1997 to Apr 26, 2024

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