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

V-Lab

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V-Lab

Citizen Watch Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:22.84% (+0.62%)

Analysis last updated: Thursday, May 16, 2024 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5088	7.81
$α$	0.0936	8.72
$β$	0.8326	39.92
$γ_{1}$	0.0828	3.17
$γ_{2}$	-0.0476	-1.22
$γ_{3}$	-0.1294	-4.76
$γ_{4}$	0.1789	7.18
$γ_{5}$	-0.1198	-4.33
$γ_{6}$	0.0221	0.68
$γ_{7}$	0.0589	1.57
$γ_{8}$	-0.1399	-2.53

Estimation Period:
Jan 3, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts