V-Lab: Citizen Watch Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Citizen Watch Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:29.14% (-0.77%)

Analysis last updated: Saturday, May 4, 2024 at 11:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4792	7.33
$α$	0.0926	8.74
$β$	0.8412	43.23
$γ_{1}$	0.0765	2.80
$γ_{2}$	-0.0392	-0.97
$γ_{3}$	-0.1314	-4.64
$γ_{4}$	0.1784	6.87
$γ_{5}$	-0.1224	-4.28
$γ_{6}$	0.0364	1.11
$γ_{7}$	0.0176	0.53
$γ_{8}$	-0.0238	-0.90

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts