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

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V-Lab

Nippon Soda Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:19.59% (-0.52%)

Analysis last updated: Tuesday, May 7, 2024 at 11:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1312	7.33
$α$	0.0840	7.47
$β$	0.8382	35.11
$γ_{1}$	-0.0412	-1.48
$γ_{2}$	0.0934	2.31
$γ_{3}$	-0.1039	-3.48
$γ_{4}$	0.1088	3.34
$γ_{5}$	-0.1239	-3.81
$γ_{6}$	0.1185	3.81
$γ_{7}$	-0.0934	-3.51
$γ_{8}$	0.0665	3.49

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts