V-Lab: Tokyo Electron Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Tokyo Electron Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:54.42% (-1.02%)

Analysis last updated: Wednesday, May 15, 2024 at 03:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2351	6.26
$α$	0.0601	8.65
$β$	0.9105	93.08
$γ_{1}$	0.0663	5.98
$γ_{2}$	-0.1189	-7.21
$γ_{3}$	0.0903	7.67
$γ_{4}$	-0.0604	-5.09
$γ_{5}$	0.0606	2.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts