V-Lab: Sapporo Holdings Ltd MF2-GARCH Volatility Analysis

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V-Lab

Sapporo Holdings Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:24.30% (-0.16%)

Analysis last updated: Friday, May 10, 2024 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1390	25.63
$β$	0.5488	34.06
$γ$	0.0652	7.68
$λ_{1}$	0.0299	2.22
$λ_{2}$	0.0399	3.90
$λ_{3}$	0.9534	75.92

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts