V-Lab: Odakyu Electric Railway Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Odakyu Electric Railway Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:23.35% (+3.94%)

Analysis last updated: Thursday, May 9, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3339	6.94
$α$	0.1400	7.14
$β$	0.7637	26.80
$γ_{1}$	-0.0944	-2.42
$γ_{2}$	0.2128	3.72
$γ_{3}$	-0.2432	-6.22
$γ_{4}$	0.2314	6.01
$γ_{5}$	-0.1822	-4.76
$γ_{6}$	0.1461	4.28
$γ_{7}$	-0.1272	-3.76
$γ_{8}$	0.1140	3.34
$γ_{9}$	-0.1351	-1.96

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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