V-Lab: JFE Holdings Inc MF2-GARCH Volatility Analysis

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V-Lab

JFE Holdings Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:24.05% (-0.53%)

Analysis last updated: Friday, May 17, 2024 at 12:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0185	5.70
$β$	0.8642	137.57
$γ$	0.0695	13.37
$λ_{1}$	1.0740	0.16
$λ_{2}$	0.8063	0.15
$λ_{3}$	0.0000	0.00

Estimation Period:
Sep 26, 2002 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts