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

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V-Lab

Kuraray Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:23.06% (-0.21%)

Analysis last updated: Saturday, May 4, 2024 at 12:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2510	7.27
$α$	0.0796	6.88
$β$	0.8680	43.74
$γ_{1}$	-0.0971	-3.46
$γ_{2}$	0.2343	5.59
$γ_{3}$	-0.2470	-8.24
$γ_{4}$	0.1834	6.58
$γ_{5}$	-0.1285	-4.69
$γ_{6}$	0.0915	3.31
$γ_{7}$	-0.0561	-1.99
$γ_{8}$	0.0257	1.13

Estimation Period:
Jan 3, 1990 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts