V-Lab: Nichirei Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Nichirei Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.64% (+0.02%)

Analysis last updated: Friday, May 17, 2024 at 12:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3770	5.88
$α$	0.1201	5.08
$β$	0.7994	22.71
$γ_{1}$	-0.0008	-0.01
$γ_{2}$	0.1355	1.39
$γ_{3}$	-0.2688	-4.13
$γ_{4}$	0.1211	2.39
$γ_{5}$	0.1146	2.51
$γ_{6}$	-0.1980	-4.25
$γ_{7}$	0.1956	3.93
$γ_{8}$	-0.1755	-3.49
$γ_{9}$	0.1108	1.78
$γ_{10}$	-0.1015	-0.81

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts