V-Lab: Nissui Corp MF2-GARCH Volatility Analysis

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V-Lab

Nissui Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 5th, 2025:18.52% (-0.90%)

Analysis last updated: Wednesday, March 5, 2025 at 10:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1084	21.47
$β$	0.5512	37.17
$γ$	0.1292	12.65
$λ_{1}$	0.0254	2.01
$λ_{2}$	0.0247	3.71
$λ_{3}$	0.9703	115.80

Estimation Period:
Jan 3, 1990 to Feb 28, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts