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

V-Lab

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V-Lab

Nippon Express Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 24th, 2021:37.17% (-1.49%)

Analysis last updated: Monday, November 22, 2021 at 11:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2452	8.08
$α$	0.0984	8.87
$β$	0.8277	44.06
$γ_{1}$	0.0046	0.11
$γ_{2}$	0.0692	1.06
$γ_{3}$	-0.1365	-2.76
$γ_{4}$	0.0471	1.08
$γ_{5}$	0.0856	1.83
$γ_{6}$	-0.1593	-2.79
$γ_{7}$	0.1647	3.07
$γ_{8}$	-0.1064	-1.93
$γ_{9}$	0.0746	0.84

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts