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

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V-Lab

SJM Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:13.28% (-0.62%)

Analysis last updated: Sunday, May 19, 2024 at 12:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7673	3.22
$α$	0.2176	6.30
$β$	0.5621	10.06
$γ_{1}$	-0.6939	-1.42
$γ_{2}$	0.8109	1.30
$γ_{3}$	-0.2404	-0.65
$γ_{4}$	0.0607	0.16
$γ_{5}$	0.2929	0.71
$γ_{6}$	-0.2712	-0.62
$γ_{7}$	0.5169	1.24
$γ_{8}$	-1.3468	-2.81
$γ_{9}$	1.8769	3.75
$γ_{10}$	-3.2308	-3.03

Estimation Period:
May 31, 2010 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts