V-Lab: FUJIFILM Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

FUJIFILM Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:23.09% (-1.13%)

Analysis last updated: Sunday, May 5, 2024 at 12:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1692	6.32
$α$	0.1143	9.01
$β$	0.7973	36.97
$γ_{1}$	0.0451	1.84
$γ_{2}$	-0.0239	-0.67
$γ_{3}$	-0.0899	-3.68
$γ_{4}$	0.1360	6.05
$γ_{5}$	-0.1072	-3.64
$γ_{6}$	0.0504	1.47
$γ_{7}$	-0.0080	-0.25
$γ_{8}$	-0.0023	-0.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts