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

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V-Lab

Kuraray Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:19.20% (-0.44%)

Analysis last updated: Wednesday, May 15, 2024 at 04:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2760	7.52
$α$	0.0800	6.87
$β$	0.8671	43.63
$γ_{1}$	-0.0989	-3.61
$γ_{2}$	0.2400	5.83
$γ_{3}$	-0.2554	-8.62
$γ_{4}$	0.1915	6.92
$γ_{5}$	-0.1337	-4.88
$γ_{6}$	0.0920	3.25
$γ_{7}$	-0.0489	-1.50
$γ_{8}$	-0.0027	-0.06

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts