V-Lab: Nippon Express Co Ltd MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Nippon Express Co Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 24th, 2021:32.76% (-2.14%)

Analysis last updated: Monday, November 22, 2021 at 11:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0736	21.66
$β$	0.7627	86.55
$γ$	0.0640	12.48
$λ_{1}$	0.0875	2.03
$λ_{2}$	0.0590	2.11
$λ_{3}$	0.9186	23.34

Estimation Period:
Jan 3, 1990 to Nov 22, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts