V-Lab: Tokyo Dome Corp Spline-GARCH Volatility Analysis

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V-Lab

Tokyo Dome Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 23rd, 2021:1.15% (+0.07%)

Analysis last updated: Thursday, April 22, 2021 at 10:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8596	3.27
$α$	0.1580	11.25
$β$	0.7826	54.61
$γ_{1}$	-0.1892	-1.76
$γ_{2}$	0.2865	2.18
$γ_{3}$	-0.1511	-2.26
$γ_{4}$	0.0360	0.53
$γ_{5}$	0.1098	1.51
$γ_{6}$	-0.1997	-2.15
$γ_{7}$	0.2047	2.11
$γ_{8}$	-0.2137	-2.55
$γ_{9}$	0.2273	2.78
$γ_{10}$	-0.6911	-6.24

Estimation Period:
Jan 3, 1990 to Apr 16, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts