V-Lab: Nippon Yusen KK Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Nippon Yusen KK Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:34.52% (-0.99%)

Analysis last updated: Tuesday, April 30, 2024 at 10:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2832	6.80
$α$	0.0837	9.52
$β$	0.8832	76.04
$γ_{1}$	-0.0120	-0.29
$γ_{2}$	0.0990	1.55
$γ_{3}$	-0.1906	-4.65
$γ_{4}$	0.1793	5.45
$γ_{5}$	-0.1117	-3.21
$γ_{6}$	0.0309	0.79
$γ_{7}$	0.0439	1.22
$γ_{8}$	-0.0648	-2.41

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts