V-Lab: Canon Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Canon Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:38.72% (-1.47%)

Analysis last updated: Thursday, May 2, 2024 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5278	5.74
$α$	0.0666	9.69
$β$	0.9113	93.03
$γ_{1}$	0.1010	5.40
$γ_{2}$	-0.1678	-6.62
$γ_{3}$	0.1132	5.85
$γ_{4}$	-0.0887	-3.88
$γ_{5}$	0.0816	2.71
$γ_{6}$	-0.0508	-0.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts