V-Lab: Toyobo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Toyobo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:18.93% (-0.75%)

Analysis last updated: Sunday, May 5, 2024 at 12:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3692	5.47
$α$	0.0969	8.81
$β$	0.8513	45.34
$γ_{1}$	0.0016	0.04
$γ_{2}$	0.0360	0.66
$γ_{3}$	-0.1193	-3.22
$γ_{4}$	0.1714	5.57
$γ_{5}$	-0.1441	-4.76
$γ_{6}$	0.0851	2.58
$γ_{7}$	-0.0624	-1.95
$γ_{8}$	0.0515	2.29

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts