V-Lab: Mitsui Chemicals Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mitsui Chemicals Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:34.06% (+13.63%)

Analysis last updated: Friday, May 17, 2024 at 12:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1862	5.20
$α$	0.0941	8.76
$β$	0.8598	56.90
$γ_{1}$	0.0025	0.07
$γ_{2}$	0.0567	1.05
$γ_{3}$	-0.1524	-5.07
$γ_{4}$	0.1787	6.86
$γ_{5}$	-0.1404	-4.70
$γ_{6}$	0.0647	2.04
$γ_{7}$	0.0148	0.41
$γ_{8}$	-0.0808	-1.52

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts