V-Lab: Hanshin Machinery Co Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Hanshin Machinery Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:47.90% (-1.59%)

Analysis last updated: Friday, May 3, 2024 at 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7958	5.30
$α$	0.0873	6.90
$β$	0.8798	51.27
$γ_{1}$	0.0573	1.49
$γ_{2}$	-0.0901	-1.63
$γ_{3}$	-0.0288	-0.66
$γ_{4}$	0.1809	3.53
$γ_{5}$	-0.2462	-4.98
$γ_{6}$	0.2329	5.56
$γ_{7}$	-0.1494	-3.09
$γ_{8}$	0.0455	1.00

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts