V-Lab: Japan Steel Works Ltd/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Japan Steel Works Ltd/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:33.63% (+1.28%)

Analysis last updated: Thursday, May 2, 2024 at 10:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1800	7.05
$α$	0.0959	6.68
$β$	0.8391	42.50
$γ_{1}$	0.0306	1.10
$γ_{2}$	0.0004	0.01
$γ_{3}$	-0.0902	-2.53
$γ_{4}$	0.0994	3.14
$γ_{5}$	-0.0669	-2.01
$γ_{6}$	0.0639	1.61
$γ_{7}$	-0.0790	-1.69
$γ_{8}$	0.0620	1.74

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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