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

V-Lab

| |

V-Lab

Hanshin Machinery Co Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:38.66% (-1.55%)

Analysis last updated: Saturday, May 11, 2024 at 03:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7256	5.16
$α$	0.0892	6.47
$β$	0.8635	40.96
$γ_{1}$	0.0115	0.19
$γ_{2}$	0.0526	0.55
$γ_{3}$	-0.2172	-2.96
$γ_{4}$	0.2019	2.97
$γ_{5}$	0.0692	0.91
$γ_{6}$	-0.3089	-3.99
$γ_{7}$	0.3438	4.07
$γ_{8}$	-0.2209	-2.34
$γ_{9}$	0.1421	1.79
$γ_{10}$	-0.2440	-1.48

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts