V-Lab: Sumitomo Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Sumitomo Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:38.76% (-3.05%)

Analysis last updated: Saturday, May 4, 2024 at 11:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4241	7.00
$α$	0.1082	7.51
$β$	0.8281	35.51
$γ_{1}$	0.0715	4.74
$γ_{2}$	-0.1176	-5.49
$γ_{3}$	0.0710	4.04
$γ_{4}$	-0.0474	-3.00
$γ_{5}$	0.0465	2.90
$γ_{6}$	-0.0324	-2.56

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts