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{name} Model Equation

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Param	Value	t-stat
ωconst	1.5540	3.21***
αARCH	0.1802	5.89***
βGARCH	0.6784	16.74***

γ₁	-0.0100	-0.10
γ₂	0.0730	0.56
γ₃	-0.1849	-2.70***
γ₄	0.3339	4.46***
γ₅	-0.3739	-4.12***
γ₆	0.1539	1.59
γ₇	0.1250	1.61
γ₈	-0.1826	-3.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5540	3.21***
α ARCH Response to squared shocks	0.1802	5.89***
β GARCH Volatility persistence	0.6784	16.74***

γ₁	-0.0100	-0.10
γ₂	0.0730	0.56
γ₃	-0.1849	-2.70***
γ₄	0.3339	4.46***
γ₅	-0.3739	-4.12***
γ₆	0.1539	1.59
γ₇	0.1250	1.61
γ₈	-0.1826	-3.68***

V-Lab

NCD Co Ltd/Shinagawa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NCD Co Ltd/Shinagawa Analyses