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

V-Lab

| |

V-Lab

Central Japan Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:20.24% (+0.44%)

Analysis last updated: Wednesday, May 1, 2024 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2995	4.27
$α$	0.1111	6.04
$β$	0.8218	31.71
$γ_{1}$	-0.3562	-1.91
$γ_{2}$	0.2233	0.84
$γ_{3}$	0.3661	2.93
$γ_{4}$	-0.3558	-3.99
$γ_{5}$	0.0724	0.81
$γ_{6}$	0.2119	2.03
$γ_{7}$	-0.3867	-3.80
$γ_{8}$	0.4680	5.12
$γ_{9}$	-0.4463	-4.76
$γ_{10}$	0.3257	2.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts