V-Lab: ITOCHU Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ITOCHU Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:33.08% (-1.73%)

Analysis last updated: Saturday, May 11, 2024 at 04:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3178	6.27
$α$	0.1134	9.95
$β$	0.8636	72.59
$γ_{1}$	0.0094	2.19
$γ_{2}$	-0.0192	-3.10
$γ_{3}$	0.0236	4.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts