V-Lab: Nissui Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nissui Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:21.94% (-0.75%)

Analysis last updated: Thursday, November 21, 2024 at 01:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4616	6.60
$α$	0.1205	7.09
$β$	0.7683	25.38
$γ_{1}$	0.0292	0.77
$γ_{2}$	0.0153	0.27
$γ_{3}$	-0.1506	-3.78
$γ_{4}$	0.2274	5.45
$γ_{5}$	-0.2204	-5.11
$γ_{6}$	0.1866	4.75
$γ_{7}$	-0.1529	-3.68
$γ_{8}$	0.0823	2.16
$γ_{9}$	-0.0101	-0.42

Estimation Period:
Jan 3, 1990 to Nov 15, 2024

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Volatility Forecasts

Volatility Forecasts