V-Lab: Japan Tobacco Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Japan Tobacco Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:18.33% (+1.94%)

Analysis last updated: Wednesday, May 1, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1543	4.18
$α$	0.1317	7.16
$β$	0.7353	19.46
$γ_{1}$	0.3471	6.10
$γ_{2}$	-0.6094	-6.80
$γ_{3}$	0.4013	6.12
$γ_{4}$	-0.1596	-3.29
$γ_{5}$	-0.0140	-0.32
$γ_{6}$	0.0250	0.55
$γ_{7}$	0.0313	0.60
$γ_{8}$	-0.0139	-0.24
$γ_{9}$	-0.0080	-0.19

Estimation Period:
Oct 27, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts