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

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V-Lab

Nitto Boseki Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:66.96% (-4.75%)

Analysis last updated: Saturday, May 18, 2024 at 01:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8975	9.13
$α$	0.1083	6.39
$β$	0.7994	27.65
$γ_{1}$	-0.0509	-2.05
$γ_{2}$	0.1060	2.77
$γ_{3}$	-0.1224	-3.72
$γ_{4}$	0.1319	3.65
$γ_{5}$	-0.1119	-3.74
$γ_{6}$	0.0579	2.05
$γ_{7}$	0.0091	0.31
$γ_{8}$	-0.0321	-1.38

Estimation Period:
Jan 3, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts