V-Lab: Shin-Etsu Chemical Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Shin-Etsu Chemical Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:35.56% (-0.77%)

Analysis last updated: Friday, May 17, 2024 at 12:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3881	8.31
$α$	0.0785	7.42
$β$	0.8731	49.09
$γ_{1}$	-0.0078	-0.30
$γ_{2}$	0.1149	2.92
$γ_{3}$	-0.2417	-8.65
$γ_{4}$	0.2319	8.84
$γ_{5}$	-0.1560	-5.60
$γ_{6}$	0.0902	2.95
$γ_{7}$	-0.0353	-1.01
$γ_{8}$	0.0230	0.55

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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