V-Lab: SJM Holdings Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

SJM Holdings Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:38.85% (+0.10%)

Analysis last updated: Friday, May 3, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2288	7.70
$α$	0.2378	5.28
$β$	0.5784	9.37
$γ_{1}$	-0.1230	-4.16
$γ_{2}$	0.1516	3.45
$γ_{3}$	-0.0001	-0.00
$γ_{4}$	-0.0716	-1.48
$γ_{5}$	0.0403	0.74
$γ_{6}$	0.1141	2.48
$γ_{7}$	-0.1888	-5.59

Estimation Period:
Feb 12, 1997 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts