V-Lab: Nissan Motor Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Nissan Motor Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:29.17% (-0.18%)

Analysis last updated: Thursday, May 9, 2024 at 11:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0827	5.55
$α$	0.1024	9.50
$β$	0.8524	56.10
$γ_{1}$	-0.0122	-0.31
$γ_{2}$	0.0662	1.17
$γ_{3}$	-0.1660	-4.54
$γ_{4}$	0.2397	7.55
$γ_{5}$	-0.2151	-6.23
$γ_{6}$	0.0948	2.40
$γ_{7}$	0.0705	1.82
$γ_{8}$	-0.1835	-2.60

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts