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

V-Lab

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V-Lab

Japan Tobacco Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:15.99% (-0.70%)

Analysis last updated: Wednesday, May 15, 2024 at 04:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1569	4.14
$α$	0.1316	7.18
$β$	0.7357	19.24
$γ_{1}$	0.3552	6.23
$γ_{2}$	-0.6250	-6.98
$γ_{3}$	0.4150	6.37
$γ_{4}$	-0.1694	-3.50
$γ_{5}$	-0.0105	-0.24
$γ_{6}$	0.0305	0.68
$γ_{7}$	0.0102	0.20
$γ_{8}$	0.0386	0.62
$γ_{9}$	-0.1476	-1.63

Estimation Period:
Oct 27, 1994 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts