V-Lab: East Japan Railway Co MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

East Japan Railway Co MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:30.72% (-3.75%)

Analysis last updated: Saturday, May 11, 2024 at 04:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0517	15.76
$β$	0.6903	65.11
$γ$	0.2028	21.64
$λ_{1}$	0.0197	4.73
$λ_{2}$	0.0370	6.46
$λ_{3}$	0.9562	142.12

Estimation Period:
Oct 26, 1993 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts