V-Lab: Seven & i Holdings Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Seven & i Holdings Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:20.21% (+1.18%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3475	4.87
$α$	0.0990	8.73
$β$	0.8618	63.21
$γ_{1}$	0.0344	0.91
$γ_{2}$	0.0537	0.97
$γ_{3}$	-0.2211	-5.04
$γ_{4}$	0.2168	4.86
$γ_{5}$	-0.1203	-2.97
$γ_{6}$	0.0464	1.23
$γ_{7}$	0.0205	0.58
$γ_{8}$	-0.0939	-1.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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MEM
Asy. MEM
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GAS-GARCH Student T
MF2-GARCH