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

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V-Lab

SJM Holdings Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:22.83% (-1.47%)

Analysis last updated: Saturday, May 11, 2024 at 03:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2159	7.54
$α$	0.2286	6.20
$β$	0.5836	11.24
$γ_{1}$	-0.1218	-2.91
$γ_{2}$	0.1076	1.64
$γ_{3}$	0.0980	1.70
$γ_{4}$	-0.1604	-2.70
$γ_{5}$	0.1041	2.25
$γ_{6}$	-0.0619	-1.34
$γ_{7}$	0.2358	3.94
$γ_{8}$	-0.5397	-4.70

Estimation Period:
Feb 12, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts