V-Lab: Tobu Railway Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Tobu Railway Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:31.10% (-3.62%)

Analysis last updated: Saturday, May 4, 2024 at 11:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0043	9.84
$α$	0.1468	8.40
$β$	0.7518	22.48
$γ_{1}$	0.0819	5.71
$γ_{2}$	-0.1174	-5.03
$γ_{3}$	0.0507	2.57
$γ_{4}$	-0.0212	-0.91
$γ_{5}$	0.0146	0.73
$γ_{6}$	-0.0136	-1.32

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts