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

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V-Lab

Nitto Boseki Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:73.49% (-4.77%)

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
$ω$	0.7603	8.31
$α$	0.1156	6.66
$β$	0.7805	26.18
$γ_{1}$	-0.1343	-4.06
$γ_{2}$	0.2448	4.66
$γ_{3}$	-0.2159	-5.17
$γ_{4}$	0.1767	4.06
$γ_{5}$	-0.0934	-1.62
$γ_{6}$	0.0050	0.08
$γ_{7}$	0.0334	0.69
$γ_{8}$	-0.0210	-0.48
$γ_{9}$	0.0742	0.92

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts