V-Lab: Casio Computer Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Casio Computer Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:17.83% (+0.54%)

Analysis last updated: Wednesday, May 1, 2024 at 11:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0256	6.71
$α$	0.0797	6.82
$β$	0.8579	44.58
$γ_{1}$	-0.0723	-1.44
$γ_{2}$	0.1603	2.02
$γ_{3}$	-0.0980	-1.54
$γ_{4}$	-0.0664	-1.23
$γ_{5}$	0.2067	4.84
$γ_{6}$	-0.2839	-5.08
$γ_{7}$	0.2672	3.62
$γ_{8}$	-0.1938	-2.80
$γ_{9}$	0.1653	2.16
$γ_{10}$	-0.2731	-1.93

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts