V-Lab: Nisshin Seifun Group Inc MF2-GARCH Volatility Analysis

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V-Lab

Nisshin Seifun Group Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:67.43% (+45.69%)

Analysis last updated: Saturday, May 18, 2024 at 01:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0931	16.71
$β$	0.6584	42.10
$γ$	0.1015	8.49
$λ_{1}$	0.0183	3.22
$λ_{2}$	0.0277	5.55
$λ_{3}$	0.9671	170.00

Estimation Period:
Jan 3, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts