V-Lab: Tokuyama Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Tokuyama Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:60.70% (-3.34%)

Analysis last updated: Thursday, May 2, 2024 at 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8576	5.53
$α$	0.1129	8.48
$β$	0.8207	44.50
$γ_{1}$	-0.0641	-1.47
$γ_{2}$	0.1506	2.31
$γ_{3}$	-0.1780	-3.73
$γ_{4}$	0.1619	3.67
$γ_{5}$	-0.1185	-2.89
$γ_{6}$	0.0911	2.05
$γ_{7}$	-0.0800	-1.47
$γ_{8}$	0.0108	0.21
$γ_{9}$	0.0642	2.23

Estimation Period:
Jan 4, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts