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

V-Lab

| |

V-Lab

Keio Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:20.82% (-0.82%)

Analysis last updated: Saturday, May 4, 2024 at 11:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7655	6.01
$α$	0.1152	8.26
$β$	0.8314	45.37
$γ_{1}$	0.0088	0.27
$γ_{2}$	0.0593	1.14
$γ_{3}$	-0.1722	-3.88
$γ_{4}$	0.1944	4.87
$γ_{5}$	-0.1362	-4.13
$γ_{6}$	0.0747	2.37
$γ_{7}$	-0.0389	-1.46
$γ_{8}$	0.0067	0.38

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts