V-Lab: Chiyoda Corp MF2-GARCH Volatility Analysis

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V-Lab

Chiyoda Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:60.08% (-5.44%)

Analysis last updated: Sunday, May 19, 2024 at 01:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0772	19.31
$β$	0.7394	80.40
$γ$	0.0788	11.87
$λ_{1}$	1.4713	3.21
$λ_{2}$	0.8586	4.68
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 3, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts