V-Lab: Takashimaya Co Ltd MF2-GARCH Volatility Analysis

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V-Lab

Takashimaya Co Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:26.28% (-0.62%)

Analysis last updated: Tuesday, May 14, 2024 at 01:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.0721	20.26
$β$	0.7685	41.79
$γ$	0.0305	7.10
$λ_{1}$	0.1680	1.81
$λ_{2}$	0.1134	1.58
$λ_{3}$	0.8504	9.43

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts