V-Lab: J Front Retailing Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

J Front Retailing Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:28.84% (-1.99%)

Analysis last updated: Saturday, May 11, 2024 at 05:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2596	5.29
$α$	0.1162	8.99
$β$	0.8138	37.66
$γ_{1}$	-0.1314	-2.14
$γ_{2}$	0.2320	2.39
$γ_{3}$	-0.1629	-2.21
$γ_{4}$	0.1387	2.46
$γ_{5}$	-0.1536	-3.84
$γ_{6}$	0.1135	2.90
$γ_{7}$	-0.0457	-1.18
$γ_{8}$	0.0287	0.68
$γ_{9}$	-0.0740	-0.80

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts