V-Lab: AGC Inc/Japan Spline-GARCH Volatility Analysis

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V-Lab

AGC Inc/Japan Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:17.53% (-0.52%)

Analysis last updated: Friday, May 3, 2024 at 11:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3118	6.68
$α$	0.0691	8.50
$β$	0.8968	80.71
$γ_{1}$	0.0192	0.67
$γ_{2}$	0.0506	1.20
$γ_{3}$	-0.1611	-5.73
$γ_{4}$	0.1672	6.08
$γ_{5}$	-0.1392	-4.49
$γ_{6}$	0.1004	2.78
$γ_{7}$	-0.0425	-0.91
$γ_{8}$	-0.0421	-0.50

Estimation Period:
Jan 4, 1990 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts