V-Lab: Sumco Corp MF2-GARCH Volatility Analysis

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V-Lab

Sumco Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:41.11% (-1.25%)

Analysis last updated: Friday, May 17, 2024 at 12:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	101
$α$	0.0372	13.64
$β$	0.9058	214.24
$γ$	0.0254	8.51
$λ_{1}$	0.8496	0.64
$λ_{2}$	0.9194	0.69
$λ_{3}$	0.0000	0.00

Estimation Period:
Nov 17, 2005 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts