V-Lab: Unitika Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Unitika Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:39.93% (-0.43%)

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
$ω$	1.1890	7.57
$α$	0.1171	7.18
$β$	0.8252	33.71
$γ_{1}$	0.0414	3.47
$γ_{2}$	-0.0748	-3.97
$γ_{3}$	0.0572	3.87
$γ_{4}$	-0.0438	-2.50
$γ_{5}$	0.0488	1.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts