V-Lab: Asahi Kasei Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Asahi Kasei Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:31.43% (+0.35%)

Analysis last updated: Friday, May 17, 2024 at 12:49 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2825	6.86
$α$	0.0929	9.41
$β$	0.8753	69.80
$γ_{1}$	0.0472	4.47
$γ_{2}$	-0.0818	-5.05
$γ_{3}$	0.0529	4.26
$γ_{4}$	-0.0170	-1.35
$γ_{5}$	-0.0233	-1.03

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts