V-Lab: Fujikura Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Fujikura Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:44.51% (-1.18%)

Analysis last updated: Friday, May 3, 2024 at 11:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0321	7.87
$α$	0.0896	8.31
$β$	0.8460	45.60
$γ_{1}$	-0.0216	-0.76
$γ_{2}$	0.1178	2.83
$γ_{3}$	-0.1951	-6.65
$γ_{4}$	0.1554	4.85
$γ_{5}$	-0.1003	-2.88
$γ_{6}$	0.0797	2.24
$γ_{7}$	-0.0389	-1.05
$γ_{8}$	-0.0070	-0.24

Estimation Period:
Jan 3, 1990 to May 2, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts