V-Lab: Taiheiyo Cement Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Taiheiyo Cement Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:23.55% (-0.95%)

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
$ω$	1.1803	6.42
$α$	0.0994	10.15
$β$	0.8597	75.49
$γ_{1}$	0.0271	0.75
$γ_{2}$	0.0066	0.12
$γ_{3}$	-0.1161	-3.49
$γ_{4}$	0.1732	5.85
$γ_{5}$	-0.1770	-5.49
$γ_{6}$	0.1441	4.52
$γ_{7}$	-0.0796	-2.71
$γ_{8}$	0.0293	1.34

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts